Yes it is not possible, so people do put things in different databases
so they can be spread out to different shards.
Can you explain why you need to do this? Is it just that you have many
collections which are small and don't need to be sharded?
There is nothing more complicated about doing a query in one database
or another for collection. Queries can only be done in a single
collection anyway -- so moving them between databases shouldn't be an
issue.
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