I have a 2002 BMW X5 e53 6 cylinders I’m having this problem where my car headlights won’t turn off. It doesn’t matter if I turn them off manually or not. When the engine is shut off and the keys are removed, the headlights just stay on and they never go off. This kill my battery, But I don’t know what to do.

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well, those are endless money pits at that age. But do try new headlight relays and pray they are just sticking and it's not a computer fault. Good luck