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I have created a task scheduler in azure function and wanted to implement retry policy if Proxy url returns some error message.

Liza
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When a Timer Triggered (Scheduled) Azure Function raises an uncaught exception, retry policies are evaluated.

It should catch all exceptions in the code and can implement the retry policy for that which is a best practice.

You can apply either of the two strategies like Fixed delay and Exponential backoff.

Refer to Scheduled Azure Functions - Retry Policies for more information.