Day Trading Tax Treatment: missing 1099 from defunct exchange

Has anyone dealt with something like this? I'm not sure what my options are.

missing 1099 from defunct exchange. I've been dealing with this for about 2 months now and the situation isn't improving.

I have already done some research online but did not get a clear answer.

Has anyone been through something similar? What worked for you?

So basically been there. Here's what I learned.

The #1 mistake I see here is filing with the appropriate government agency. I'd recommend gathering evidence first instead.