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Any messages that are pending in the agent's queue will be received and processed as soon as the agent connects to the zone.
When the agent is shut down it places itself in Sleep Mode in each zone so the server will not try and contact it.
SIF is a reliable messaging system. Any messages delivered to the agent when it is not running will be safely queued on the zone integration server. This may result in an interruption of services to other agents in the zone (e.g. if the agent is a Provider of one or more object types, other applications in the zone will not be able to request objects from it), but there is no risk of data loss.