I'm having trouble transitioning a successful project into an Alpha because I cannot get it to give out any Insights during backtesting.

I just want the Alpha to emit insights exactly when the algorithm places trades, but I can't get that to work because Insights need to come from Update method, and my algorithm places trades in the OnSecuritiesChanged method. I've tried copy and pasting the trade process into the Update method, but it doesn't work because I then can't use the loop "for security in changes.AddedSecurities:" because "changes" does not work in the Update method.

Can someone help me out with this? How exactly can I get Insights to copy the algorithm when the algorithm is in "OnSecuritiesChanged" but the Insights have to come from "Update"?

And as for the feature request tag, shouldn't there be a way to have the algorithm emit insights whenever it is programmed to placed a trade with just a simple command?