I tried to filter the universe based on the prices' Gap on open (if it opens more than the High of the previous day or less than the Low of the previous day).

Got this strange behaviour in the 'def OnSecuritiesChanged(self, changes):' function, where the only changes passed are removals!

By debugging the 'def SelectSymbols(self, dateTime):' function You can see that it correctly creates the new symbols (when needed), but when returned, they don't appear inside changes.AddedSecurities...

Can't figure out why it only removes securities and can't add them.

Did someone encounter the same problem?

Hope that someone can help.

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