The documentation says:
"At the end of a quarter if your algorithm has a position in a stock, that stock is held in the universe even if it would have otherwise fallen out."
This can make the number of stocks in a portfolio increase every quarter. What's the best way to identify the stocks that no longer meet the universe criteria, so that they can be sold without affecting the stocks that continue in the universe?
Whatever the order type might be, the main problem is that the API doesn't seem to provide a way to identify the stocks that no longer belong in the universe but are being retained because of an open position.
Michael, I think you are right, you're looking at an API limitation that we need to fix. Right now there is no good way to see what stocks are exiting and leaving the universe.
As a complete hack, you can sell all of your holdings on the last day of the quarter and renew holdings on the first day of the quarter. That's a bad solution on many levels but it might help you in the short term.
Thanks for the post, and I'll put this fix on our roadmap.
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