It would be great if you could find a way to code protection against this sort of thing, it really would, but tbh my instinct is to avoid algos that are likely to suffer under those conditions. The 1 sec Renkos are interesting and truly little cash machines in a strong trending market, but maybe just a bit too fragile.

I’m still p*ssed that IG is allowed to do it, but 5 -10 pts on the DOW is nothing in the bigger picture. A more robust strategy should be able to handle it.