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?
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.