The BO explodes into so many order legs. Some algos fire 30+ BOs , each expanding into 10+ orders. So at 3:22 EOD, we end up with 200-500 open order legs. As investment goes up, this count goes up too.
Squaring off so many orders through APIs take many seconds and sometimes the auto-squareoff kicks-in, causing additional charges.
Currently we are working around this problem by manual square-off and/or doing it earlier. Both ways are sub-optimal.
It would be awesome to have a single API that takes in a list of symbols (and/or order IDs) and exits all open positions of that list at once.