If you are running your embedded EJB against an existing GlassFish installation, you need to preconfigure all the resources using either admin GUI or CLI (the same way you would do it for a regular deployment). - see
http://docs.sun.com/app/docs/doc/821-1208/gjlde?a=view
It is not a supported option currently to add a datasource if you use EJB Embeddable API with glassfish-embedded-all.jar. Feel free to file an enhancement request.
-marina
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