The fuel is bleeding off back into the tank. There are two things that can cause this.
1) Is an air leak on the supply side. It may not leak fuel but will leak air. That allows the fuel to run back into the tank.
2) I think there is a check valve in/on that motors injection pump. I am not sure exactly where it is. It is to keep the fuel from siphoning back into the tank.
Either of these will cause an air pocket in front of the injection pump. So the motor starts and then sucks the little bit of air in. Then when you check the system everything has fuel then. The air pocket has already been sucked into the pump.
This happening was real common on JD combines. They put a check valve right under the fuel filter on the back of the motor. The problem was that this is on TOP of the engine. About 4 feet about the fuel level if the tank is clear full, 6-7 feet in you have less fuel. The easy fix I found was to move the check valve down to the electric fuel pump. This was under the fuel tank. That stopped the trouble 90% of the time.
Any JD diesel combine from 1973 to 1988 had these check valves on them. You can get them off an junked one for a few bucks. Install one right at the tank on your skid steer.
Just happened to think of this. The electric pump on your skid steer could have this check valve made into it. It it has failed it would cause the problem you are describing. Maybe some of the other guys on here know about your fuel setup better.
One way to see if it is a bleed of issue. next time you are done with the skid steer. clamp the fuel line shut at the tank just after you run it. Then unclamp it the next time you start it and see if you still have your shut down issue. If you do not than you know the fuel is drain back into the tank.
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