The direct_messages/new request does not accept any sort of "in-reply-
to" parameter.  Am I correct in assuming that a reply to a direct
message is sent as a normal status update via statuses/update (with
in_reply_to_status_id set and the username in the text).

Does Twitter know that in_reply_to_status_id was a direct message and
send the reply as a direct message?

How do I ensure that a reply to a direct message is correctly sent as
a direct message?

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