TCP is Transmission Control Protocol and IP is Internet Protocol. These protocols are used together and are the transport protocol for the internet. When modbus information is sent using these protocols, the data is passed to TCP where additional information is attached and given to IP. IP then places the data in a packet (or datagram) and transmits it.
TCP must establish a connection before transferring data, since it is a connection-based protocol. The Master (or Client in Modbus TCP) establishes a connection with the Slave (or Server). The Server waits for an incoming connection from the Client. Once a connection is established, the Server then responds to the queries from the Client until the client closes the connection.
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