In a nutshell, TCP is Transfer Control Protocol, in which all the data transfers are strictly controlloed. UDP is Universal Datagram Protocol, where the data is like a telegram. It gets sent, and then it just kind of... goes.
In TCP, a connection is established with ACK and SYN packets. The connection is then used to transfer data. The data has lots of extra information attached to it, and if there is a problem, one end of the connection can request parts of the data again. It's kind of like a self correcting connection.
In UDP, which is sometimes referred to as 'connectionless', data is sent to a certain address. I there is an error and some of the data is lost along the way, oh well. UDP is faster because it doesn't take all the extra information, and doesn't require one end to send confirmaion to the other that everything was received okay, but it isn't as reliable.
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