Things doesn't work as expected

To address the unexpected removal of securities from your universe despite having open orders, consider the following steps:

1. Ensure Order Status: Double-check the status of your orders. Make sure that they are indeed in a state that prevents removal, such as 'Submitted', 'PartiallyFilled', or 'Working'.

2. Time-in-Force (TIF) Setting: Verify the Time-in-Force (TIF) setting for your orders. If orders are set with a Daily TIF, they may expire at the end of the trading day, thus not existing as open orders in the logic for the next day.

3. Debugging and Logging: Implement extensive logging in your on_securities_changed method to understand the exact sequence of events. This could include timestamps, order statuses, and universe membership.

4. Review Universe Logic: Ensure your universe selection logic correctly updates to reflect continued interest or orders in the assets.

Here’s an example of using the on_securities_changed method to debug and track changes:

def on_securities_changed(self, changes: SecurityChanges) -> None:
    for security in changes.removed_securities:
        self.debug(f"{self.Time}: Removed {security.Symbol}, Invested: {security.invested}")
        if security.invested:
            self.liquidate(security.Symbol, "Security Removed from Universe")
    for security in changes.added_securities:
        self.debug(f"{self.Time}: Added {security.Symbol}")

This method logs when securities are added or removed, helping you identify unexpected behavior regarding universe changes. Ensure that orders persist in a valid state and check if they might have been inadvertently canceled due to TIF settings or other logic.

Sources: Key Concepts - QuantConnect.com, Seasonality Effect Based On Same Calendar Month Returns, Event Handlers - QuantConnect.com, Key Concepts - QuantConnect.com, Head & Shoulders TA Pattern Detection