1. A method of transmitting data for use at a data processing system supporting an application, an application programming interface and a network protocol stack, the data processing system being coupled to a network by a network interface device, the method comprising: forming one or more protocol headers; and subsequent to the forming of the one or more protocol headers, forming by the application one or more parts of a message for transmission; causing by the application programming interface inclusion of said one or more parts of the message for transmission in the message, and one or more protocol headers, in accordance with a predetermined set of protocols, for the message for transmission; on completion of the message for transmission, process the message in accordance with the predetermined set of protocols to complete the protocol headers; and causing the network interface device to transmit the completed message over the network.