Share New Research 
I've been having some trouble with a momentum "in and out" style strategy I have been working on.
It picks 10 equities every day for its universe, and either rebalances into those, or rebalances into bonds.
Problem: on average 1-2 equities I'm buying every day generates a "Sell on Market Open" order which gets immeditely cancelled, as well as a log stating that the security has been "marked as non-tradable". I looked up some of these stocks, and it does not look as if they were delisted or anything else. From then on in my backtesting, these holdings cannot be liquidated, but still appear as part of the portfolio holdings, and eventually cause trades to fail due to leverage.
I'm pretty new to this platform (I'm used to zipline), so odds are I am doing something wrong here, I just can't see why this would happen.
Shile Wen
Hi Christopher,
When using Universe selection, we do not want to call AddEquity and RemoveSecurity as the Universe selection automatically adds and removes the securities for us. This addresses the non-tradeable securities issue. Furthermore, instead of repeatedly calling History for data, we should store the data inside a dict of RollingWindows keyed by Symbol, and this will greatly speed up the algorithm as well as use less resources.
Best,
Shile Wen
Karamazov
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