This paper addresses an important question in the development of multi-agent systems—how can we create robust systems out of the often unreliable agents and infrastructures we can expect to find in an open systems’ context? Here we examine an approach based on distinct exception handling services, and apply it to systems performing resource allocation by means of a double auction. The exception handling system provides protocol-specific but domain independent strategies for monitoring the auction, and for ameliorating problems when they occur. We describe a number of experiments that suggest the exception handling approach works well for various kinds of message loss in double auctions.