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Most commonly due to latency reasons, market data is published using multicast protocol. However since multicast is built on top of UDP, it is possible that there could be packet drops. How can the client get the missed messages and build the order book correctly?

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    $\begingroup$ here is CME mechanism: cmegroup.com/confluence/display/EPICSANDBOX/…. Listen to both incremental UDP Feed A, and Feed B for arbitration. In case of lost packet in both, use recovery mechanism via TCP. $\endgroup$
    – Serg
    Commented Sep 12, 2015 at 9:14

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You are usually given an option to either -

  • Request a re-transmission of the messages you missed (through a different channel).

  • Request a snapshot of the current book from a dedicated server.

Both are likely TCP based.

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