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The setting is vaguely Renaissance, with exceptions made for both magic and the Rule of Cool, so constructs, Zeppelins, and the like are in, Gunpowder is out. People work with magic in ways similar to how science is treated today.
That said, if you want to come from a completely different world, that’s completely fine, just check with me, and know that even if you are a space marine, you can’t bring your fully automatic rocket launchers with you. You won’t be starting the campaign naked, but you will be pretty damn close.