Hi
I tried the suggestion

For Response.End, call the HttpContext.Current.ApplicationInstance.CompleteRequest method 
instead of Response.End to bypass the code execution to the Application_EndRequest event.
For Response.Redirect, use an overload, Response.Redirect(String url, bool endResponse) that 
passes false for the endResponse parameter to suppress the internal call to Response.End. For example:

The problem is, HttpContext.Current.ApplicationInstance.CompleteRequest doesn't actually stop the execution. The rest of code (same layer or caller layer( after this method call will be still been executed, which I don't want to.

For Response.Redirect(String url, bool endResponse), it will still cause caller method able to catch ThreadAbortedException.
Most importantly, my redirect method would be called during callback. Which Response.Redirect() would not work.