I´d say you can use both "on" and "at" with the word "border".The best prepositions referring to "farm" are "on" and "at",but "at" isn´t common.I think you mustn´t use "in".
Were you stopped at the border?(Cambridge)
The river lies on the border between the US and Mexico.(Longman)
Say on a/the farm, not 'in a/the farm'.(Longman)
All the best,