For example, the fund got one futures leg in Japan Tocom and one leg in US CME, quite often one market in holiday break and one not, then how to control the risk for the pair ? Any best practice ?
Generally you have to cover the PnL swing over the holiday. Maybe you could find an FCM which is more lenient. But, also considering the costs of financing the position it's really not worth it. Virtu does a lot of this and does a good job taking all the money at scale.