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I am developing a windows application for Client Server communication using UDP, but since UDP is connectionless, whenever a Client goes down, the Server does not know that Client is off and keeps sending the data. Similar is the case when a Server is down. How can I cater this condition that whenever any of the Client or Server is down, the other party must know it and can handle it. Waiting for reply.
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I did this many years ago in VB6 but as I recall an exception was thrown if they could not contact the machine name. However, if the machine is online but your app is not listening then what I did was implement a polling situation so if I did not get a response back in a certain amount of time it was assumed offline. Your other option is to use TCP.
 
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This depends on the used communication.

When the other side sends packets in regular intervals, you can stop sending packets when no data are received for a specific time and resume sending upon the next receive. If no data are send in regular intervals, just send them. Such packets are called keep-alive packets. If necessary, send a packet at program start to indicate that the client / server is present and trigger the other side to start sending.

Using the above, you will have packets send until the time out occurs. But this is normally not a problem. If your communication protocol can be changed, you might send additional special packets indicating that a server or client is going down so that the other side can stop immediately.
 
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You can set up your own handshake protocol on top of UDP. In other words, have the receiving machine send a response that the sender will process.
 
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A simple implementation is as follows:

Have a background thread keep sending those messages and waiting for replies.
Upon receiving replies, you can populate some sort of data structure or a file with a list of alive devices.
Your other main thread (or threads) can have the following changes:

Before sending any data, check if the client you're going to send to is present in that file/data structure.
If not, skip this client.
Repeat the above for all remaining clients in the populated file/data structure.
 
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