One part of it (as there is no built-in for that):

def closeAllPositions(context):  
    for p in context.portfolio.positions:  
        if context.portfolio.positions[p].amount != 0:  
            order_target(p, 0)  

Also this can be helpful sometimes for the stairstep of when new highs happen, leverage highs in this case:

    c = context   # for brevity  
    if 'max_lvrg' not in c: # init this in initialize() for better efficiency  
        c.max_lvrg = 0  
    if c.account.leverage > c.max_lvrg:  
        c.max_lvrg = c.account.leverage  
        record(MaxLvrg = c.max_lvrg)  

Thanks. I wrote something similar to the closeAllPositions function, but it was still stuck. It looks like it's due to a stuck opened order. I can't figure out what order is still opened. Maybe we need a cancelAllOrders function, or an option to automatically cancel all opened orders at the end of day.

The leverage problem that I had was just due to the stuck order as well. Since the algorithm could not proceed, it became unhedged.

Added code. There's some logging in there, which basically shows that after Jul 2005, all trades just stop due to an opened ordered.

Gary, there are 2 options for your algo (and you can do both!):

1) If there are open orders for the stock, skip that stock. Instead of skipping all of the stocks and not running handle_data. To do so, add this to line 45:

if get_open_orders(sid):  
            continue  

2) Remove securities from your universe if the end_date is approaching. This unfortunately suffers from survivorship bis, but it will remove the orphaned positions. Here's an example how to do it (see Seong's reply): https://www.quantopian.com/posts/why-does-the-number-of-positions-and-leverage-creep-up-for-this-algorithm

It's also on our radar to improve the experience with delisting securities. Hope that helps!