Recovering Lost Multicast Market Data with Retransmission or Snapshots

Summary

The document describes how a trading system can recover market-data messages lost while receiving a low-latency multicast feed. Because multicast commonly uses UDP, packets can be dropped, leaving a client’s order book incomplete unless it detects and repairs the gap.

Two recovery methods are identified: request retransmission of the missing messages over a separate channel, or request a fresh snapshot of the current book from a dedicated server. The answer notes that these recovery paths are likely to use TCP. It gives a concise overview rather than protocol-level implementation details, and does not compare latency, sequencing schemes, snapshot consistency, or when one method is preferable. Those details depend on the specific exchange feed.

Key ideas

• UDP multicast market-data feeds can lose packets, creating gaps in a locally maintained order book.
• A client can request retransmission of missed messages over a separate channel.
• A client can instead request a snapshot of the current book from a dedicated server.
• The recovery channels are described as likely to use TCP, but exact behavior depends on the feed.

Tags

# how are gaps usually handled in market data received with multicast?


# how are gaps usually handled in market data received with multicast?












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?

## Answer by amsh (score 4, accepted)

https://quant.stackexchange.com/a/20703

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.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.