Q: Since our objectives are to implement automated trading strategies, should we really be using SetExitOnClose for live execution and does it actually work live?

A: Yes, it works. I've been doing it for years this way.

You just have to make a custom session time with certain contracts such as the E-mini ES. 830-314PM

At shortened days, you'd have to exit manually or not trade those days.

It's your choice about how you choose to trade, but this is what I do.

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