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This paper describes our experiences in the development of the UDP-based Data Transport (UDT) protocol, an application level transport protocol used in distributed data intensive applications. The new protocol is motivated by the emergence of wide area high-speed optical networks, in which TCP is often found to fail to utilize the abundant bandwidth. UDT demonstrates good efficiency and fairness (including RTT fairness and TCP friendliness) characteristics in high performance computing applications where a small number of bulk sources share the abundant bandwidth. It combines both rate and window control and uses bandwidth estimation to determine the control parameters automatically. This paper presents the rationale behind UDT: how UDT integrates these schemes to support high performance data transfer, why these schemes are used, and what the main issues are in the design and implementation of this high performance transport protocol.