So are you saying you code it into your System for the 5 day pre-expiry of Futures to kill itself?
Nah … although that could be done (with too much effort regarding the expiry days). OffTopic :
But what I just did was building in dead times for the period of IBKR being in reset (which is within a rather undefined larger period of time of an hour or so – between 06:00 and 07:00 Amsterdam). FYI: Backtesting shows that this readily misses ~10% on Opportunity (for net revenue that is), but at least my systems will keep running. This morning at 06:30 another one was thrown out. Mind you (IBKR users), only because the System changes a Pending Order which happens each bar / each minute. Thus thus *always* goes wrong once the Pending Order is maintained.
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