A method of exchanging messages, which are intended for streaming connection with a source device, in a sink device of a wireless network comprises transmitting a connect request message for data streaming to the source device; receiving a connect response message from the source device, the connect response message including connection information indicating the possibility of connection with the source device; and outputting a user interface indicating at least one of the connection information included in the connect response message and wait time information required for connection with the source device, on a display module.