One of the four vertical LED indicators should be lit.
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Check the connections of the USB
Make sure that the USB cable is fully inserted both in your computer and in your DacMagic 200M. Always use a certified cable for USB Audio, preferably one that displays an official mark. If you are using USB 2.0, the cable should be "Hi-Speed USB" certified.
Check the connections of the audio source
Make sure the plugs are fully inserted into their sockets. For digital sources other than PCs/Macs you should connect to SPDIF1, SPDIF2 or TOSLINK.