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Today I have very difficult question for you. Firstly, I am Russian-speaking man.

Let's have some question like "Who are you waiting for?" or "Who are they with?" or "Which restaurant should we eat at?" etc... That is, question with preposition at the end of question.

Let's take this one: "Who are they with?" In Russian it has next order of words: "With who they are?"

And hence I don't understand how you can say in your order... Please explain to me, how do you can catch "with" at the end???

For me, meanings of two next sentences are very different:

"Who are they?"
"Who are they with?"

How do you understand that preposition "with" in addition to the whole sentence "Who are they"?

Do you wait till the whole sentence is pronounced to understand it correctly, or you guess what is at the end?

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    Unless someone is speaking very slowly, "Who are they with" comes pretty quickly and is idiomatic for the more correct "who is with them" or stuffy-formal "with whom are they (fill in with appropriate word..."travelling", "dining", "speaking", etc.)." Bearing in mind the context of the conversation, you'll probably get used to hearing it and not get confused and think someone is asking "Who are they..." instead of "Who are they with". – Kristina Lopez Dec 19 '17 at 17:28
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    You say "With who they are?" in Russian. You can say "With whom are they?" in English. And "At which restaurant should we eat?" And "For whom are you waiting?" No problem. – Drew Dec 19 '17 at 18:17
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    @KristinaLopez I still think that final prepositions do appear awkward and untidy and would always do my best to avoid them in any formal register. Informally I have no hesitation is suggesting "For whom are you waiting", and even more "In which restaurant should we eat". But I am an Englishman of a certain age and find it hard to depart from what was insisted to me was correct, in my youth. – WS2 Dec 19 '17 at 18:46
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    The stressed syllables change depending on what's coming: "who are they?" would usually be stressed on 'they', but "who are they with?" would have an unstressed 'they' and a stressed 'with'. – Hellion Dec 19 '17 at 18:46
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    Stranded preps are perfectly normal and acceptable. No one says "For whom are you waiting"; that's ridiculous. Just about everyone says "Who are you waiting for". – BillJ Dec 19 '17 at 19:14
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I put the vase in the living room.
-- What did you put it on?

Native speakers have no problem understanding that on is to be taken in combination with what and put. It is natural in English for prepositions to appear at the tail-end of an interrogative.

We can ask the same question in this manner:

On what [thing] did you put the vase?

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For me, meanings of two next sentences are very different: "Who are they?" "Who are they with?"

In this scenario, context matters quite a bit. Let's take this example:

Ashley and John are there.

Who are they? implies that the speaker does not know who Ashley and John are.

Who are they with? implies that the speaker does know who Ashley and John are and that the speaker is instead interested in who else is there.

Usually, in such a conversation, there will be context before the question "Who are they with?" is proposed -- enough so that the they in the sentence is well-established. Compare:

Nick is with some people at the bar.

Nick is with Ashley and John at the bar.

In the first scenario, the subject of the sentence -- the some people -- has not been identified, so the question "Who are they?" makes sense. In the second scenario, the fact that every person in the sentence has been named implies that the audience knows who Nick, Ashley, and John are, so the question "Who are they?" makes less sense to ask, and instead "Who are they with?" makes more sense.

In fact, if I were to say "Nick is with Ashley and John at the bar" to someone who I thought knew all three people, and their response was "Who are they?", it would be jarring, and my response would likely be "Oh, have you not met them?".

Do you wait till the whole sentence is pronounced to understand it correctly, or you guess what is at the end?

In summary (and to answer this question), the questions "Who are they?" and "Who are they with?" are used in different contexts, and though people will listen to the entire sentence, the speaker is already anticipating which of the two questions is more likely.

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