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Data exchange is the kernel of distributed computing, and data sharing and exchange is one of the crucial problems in data systems over the wide area network. This paper proposes a new data exchange protocol based on Web Services, which defines service primitives and operation rules so as to provide a reliable transmission between both structured and unstructured data. Besides, it can resume transmission after break point. A universal data exchange platform based on Web Services is designed and implemented with respect to the proposed data exchange protocol, the transmission and adaptor mechanisms of which are also discussed. Furthermore, this paper proposes a new method using sliding windows for transmitting SOAP messages to improve the transmitting efficiency during data exchange, which would speed up SOAP message transmitting. Simulation results show that transmission efficiency and data exchange reliability are effectively improved.