Add cancel on disconnect feature

I want an option to cancel all orders if disconnected (i.e. a deadman switch )

Background: I provide a significant portion of the liquidity on NDAX. e.g., I have appx $500k in open limit orders and am at the best bid or best ask on most pairs on NDAX.

Problem for me: When I get rate limited, or disconnected, or when NDAX has unscheduled downtime, I am unable to cancel my orders. Because I am unable to cancel my orders, my orders are picked off. If the price moves up 1%, then I will get filled on my now-underpriced-by-1% sells and lose ~$2000. Vice versa if the price moves down. I lose several thousand dollars a year on NDAX due to this.

Problem for NDAX: To reduce those losses, I don't post large (>$10k) limits. Given I'm a significant part of the platform liquidity, that means the liquidity is worse than it should be.

Solution: Most exchanges offer a deadmans switch to fix this. E.g., https://developers.binance.com/docs/derivatives/coin-margined-futures/trade/Auto-Cancel-All-Open-Orders or https://bybit-exchange.github.io/docs/v5/order/dcp#how-to-enable-dcp or https://help.coinbase.com/en/derivatives/risk-management/cancel-on-disconnect or https://docs.kraken.com/api/docs/websocket-v2/cancel_after . What this does is cancel all orders if you are disconnected. That prevents the above issue and makes people more comfortable to place large limit orders.

Another way to accomplish this is to allow the order expirations to be specified in the API.