Server used a global sequence number for all messages they transmit. Clients are stateful so they know exactly what was the latest message they processed and would send that id when creating a new connection. This was very important as a lot of the message types used delta values, one of the most important ones being the order book. So in order to apply a new message you had to make sure that you're internal state was at the correct sequence id, failing to do so would make your state go bonkers, specially when you're talking about hundreds of messages being received per second. It's scary but you had a special message type that would send you a snapshot of the expected state with a sequence id that they correspond to. So your error handling code would fetch one of these and them ask for all the messages newer than that.