I am trying to implement a strategy that goes long on 10 stocks with the highest ROC from the previous day and equally weighted buys into them and then liquidates all stocks at the end of that day. This would also include a stop loss of 2% for any of those stocks. This then repeats every day, know that during backtest universe runs at midnight. 

Couple of issues that I am having with this:

1. For some reason on certain days it goes long on all the stocks at 9:31 am then sells a select amount of particular stocks at 9:32 am (not the whole security amount held), I am unable to figure out why it is selling and not even selling all the stocks held? 

2. I don't think the Risk Management is working as it should, as the largest loss for a given day should only be a max of 2% (with a margin of error) if all of the 10 stocks have decreased more than 2% that day. I can't figure out why it won't sell throughout the day.

3. How do you have the universe scan through stocks not only on the NYSE but also the TSX and any other major stock exchange in North America? 

I have been going over examples from GitHub to learn how to connect all the different classes like Selection, Alpha, Risk Management, Portfolio, etc. to try and learn the Universe Selection (I find the documentation a bit light compared to the rest of Quantconnects documentation, and the Bootcamp examples don't touch on connecting all the different classes) Please point me in the right direction for documentation on this area of Quantconnect with Universe Select.


I found Emilio's forum from 2018 that was asking a very similar question, but even with that detailed forum, I am still struggling to answer all my questions. 


Any help to figure out these couple of issues would be fantastic.