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I have Pi 2 with Samsung (5V 2A) phone charger as its power supply.

When USB external HDD is plugged, I got this small square with rainbow color on the right top of the screen. I looked around the internet and it's a warning that the Pi doesn't have enough Voltage.

So I'm wondering if buying 5V 2.5A power supply will solve the issue?

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    It may but a better choice would be a powered USB hub. – Steve Robillard Jun 10 '16 at 9:03
  • Do you have a link to the item with international shipping? I've been looking for this for a while but most of my local computer shop only sell a cheap USB hub which will backpower the Pi. – warheat1990 Jun 10 '16 at 9:05
  • shopping advice is explicitly off topic. – Steve Robillard Jun 10 '16 at 9:06
  • @warheat1990: A powered USB hub has a plugin that goes to the wall. – tlhIngan Jun 10 '16 at 9:29
  • It is not possible to backpower the Pi2 through the USB port. The power circuitry has been enhanced to prevent this in the B+ and later. – Milliways Jun 10 '16 at 10:06
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There is ABSOLUTELY no point in a 2.5A supply as the Pi2 has a 2A polyfuse.

You existing PSU is inadequate (as are the vast bulk of supplies). You need to measure what voltage it ACTUALLY delivers. A good quality supply MAY help.

As advised you should use a powered hub.

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The rainbow square is an undervoltage indicator. This means that either your PSU is too weak (not the case as yours can supply 2A), faulty (providing less than 5V under load), or the cabling you are using it with is too thin (thin wires have higher resistance, which makes the voltage drop more under load) - this is often the case with cheaper, low quality cables.

Replacing your PSU with 2.5A one is unlikely to help. I'd rather try powering your HDD from other source than the Pi's port though. A powered ('active') USB hub would most likely do the trick, or you could make an 'USB power injector' yourself if you're familiar with using a soldering iron.

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