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I'd speak internally about their legal obligations. Are they legally required to provide you with this file? If so, what's the penalty for them not providing it? If no such requirement or penalty exists, you're going to be relying on their goodwill to implement such a system.
Personally I'd prefer to implement a process which checks for the files existence no later than a certain time every morning and if it's not received, it automatically emails someone at your company and their company to let them know it hasn't been received and it will be reprocessed in an hour. Check again in an hour, repeat for a couple of attempts until there's no point processing it for that day and ease off.
I don't know why I never thought of building a file check process with our own internal notifications. WOW.... This is why this community exists. Thanks for the input Tom!