We know because that communication happens on UDP and each packet on app layer has sequence number. It is used on receiving side to rebuild sequence of packets (events from the exchange can only be understood correctly when processed in same order as generated and only if you have complete stream -- you can't process a packet until you processed the one preceding it). It is trivial to detect that we haven't missed a packet.

We had a special alert for a missing packet. To my knowledge that has never activated in production except for exchange-mandated tests (the exchange runs tests regularly to ensure every brokerage house can handle faults in communications, maximum loads, etc.)

If a packed was missed, the same data is replicated on another, independent link through another carrier.

And if this wasn't enough, if your system is down (which it shouldn't happen during trading) you can contact exchange's TCP service and request for the missing sequences. But that never happened, either.

As we really liked this pattern, we built a small framework and used it for internal communication as well including data flowing to traders' workstations.

Mind, that neither the carrier link, the networking devices or people who maintain it are cheap.