What is the recommended udpSocketBufferSize?

A: It can depends on the environment, our test shows that 8Mb is enough. So the best way is to do a few tests with different values, then to choose.

Is there any notification given to application when packet gap is detected by Onix?

A: When gap is detected MessageListener::onGap will be fired to notify that market data is not valid.

Why does Visual Studio report the warning C4251 for the Handler classes?

A: The warning is raised when a class exported from a DLL has a data member of a standard library type (std::string, std::set and the like). The Handler headers suppress it around their own declarations, so no action is needed. If your own exported classes have such members and you prefer to silence the warning project-wide, disable it in the project settings (C/C++ | Advanced | Disable Specific Warnings) or pass /wd4251 to the compiler.