Wireshark shows SSDP protocol for HTTP request, and not TCP protocol

Well. Since you've captured packets that show that your Trading Server is sending the TCP ACK's with a window size of 0, you at least know the problem is definitely on your side. Which is actually a good thing, because you are in a position to fix it. (There is one thing that might be the issue which would be a problem on their end, I'll talk about that later)

You've also traced the issue to happening during times of increased throughput, also a good thing.

You said the CPU/RAM usage on your Trading Server reported normal. The application you are using, is it by chance configured to use a limited amount of RAM on the host OS? Maybe a limited percent? Because it would stand to reason that if so, as you had more connections and more throughput, there was less RAM available to the application, and therefore less resources available for TCP.

Either way, what OS is your Trading Server using? If you haven't already, you should look into tuning the OS to dedicate more RAM to TCP. In Windows, there are Registry values you can modify. In Linux, there are config files you can edit.

It would also be wise to make sure your Firewall (and nothing else in between) is trying to proxy your TCP sessions. That way you know you are dealing with the full "client to server" TCP connection, and not something in between.

The last thing I can offer is to study the TCP packets being sent from the Stock Exchange to your server just before your server sends a Window Size of 0. In particular, look for the incoming packets to have the value 11 in the IP Header's ECN field (Explicit Congestion Notification -- the last two bits in what used to be DSCP, bits 14 and 15 if you're looking at an IP Header). There is a chance that if both the Client and Server in the communication supported ECN, and a router in transit detected congestion, that it turned these bits on to tell the client and server to slow down their transfers. (This is that thing I said that might be a problem on their end)

I think that (tries to) answer questions 0,1,3. I'll have to dig around a bit more to give you a reliable answer for 2. But I'm pretty confident there is a way.

When I check the Packet List window I find x TCP segments

Do you mean "I find x rows that say "[TCP segment of reassembled PDU]"?

but if I check the Packet Details window for the "HTTP 200 OK" response it says that there were x+1 Reassembled TCP segments. This extra TCP segment is the "HTTP 200 OK" response. Do we have to count this packet as well?

If you mean "do I have to count more than the segments whose Info column just says "[TCP segment of reassembled PDU]", the answer is "yes" - when the last segment is seen, the HTTP request or response is dissected, and information about that request or response is put into the Info column.

Don't assume the only segments in a request or response are the ones labeled as "[TCP segment of reassembled PDU]".