does every electromagnetic radiation consist of photon?
There are often many mathematical descriptions of a single phenomena in physics, depending on the scale, complexity, context, etc. A photon is a mathematical description that teases out some of the finer scale effects noticeable at the scales dealt with in quantum mechanics. It's a more careful description of electromagnetic radiation than what you might find in geometric optics for instance. So yes, all EM radiation consists of photons.
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