Hi, I have exactly the same problem (I am also not too far into having a working engine 
). I haven't been able to figure out if it's a bug in Arena, or something my engine is doing wrong (like, if I need to send some kind of output to Arena if my engine loses on time).
What makes this difficult is that it's very hard (if not impossible) to make one of the strong chess engines lose on time so I'm not able to see how they handle the situation. I think I might contact the Arena people and see if they can tell me what my engine needs to do in this situation. I'll post back if I learn anything.
Of course, another easy fix is not letting the engine lose on time in the first place! 
Hi!
I´m not far to make a working engine and trying to test it using Arena (is a winboard engine) I have this problem:
If I try to play more than one match consecutively and the engine lost by time in someone, it could not play the next match.
Below is an image of the dialogue between Arena and my GUI and you could see that my GUI is under control cause answered the ping command but later, without sending any command to my engine (number 1 in this case that was wich lost the previous match by time) it says: "Engine already calculating" and never will send again any command to it.
Any hint?
Thanks!