Make Future universe selection file-based like option universe

Algorithm.Python/BasicTemplateFuturesDailyAlgorithm.py

@@ -12,6 +12,7 @@
 # limitations under the License.
 
 from AlgorithmImports import *
+import QuantConnect.Data.UniverseSelection
 
 ### <summary>
 ### This example demonstrates how to add futures with daily resolution.
@@ -54,6 +55,12 @@ class BasicTemplateFuturesDailyAlgorithm(QCAlgorithm):
         elif all(x.exchange.hours.is_open(self.time, True) for x in self.securities.values() if x.invested):
             self.liquidate()
 
+    def on_securities_changed(self, changes: SecurityChanges) -> None:
+        if len(changes.removed_securities) > 0 and \
+            self.portfolio.invested and \
+            all(x.exchange.hours.is_open(self.time, True) for x in self.securities.values() if x.invested):
+            self.liquidate()
+
     def get_resolution(self):
         return Resolution.DAILY
 

Algorithm.Python/FutureStopMarketOrderOnExtendedHoursRegressionAlgorithm.py

@@ -36,6 +36,10 @@ class FutureStopMarketOrderOnExtendedHoursRegressionAlgorithm(QCAlgorithm):
 
     # This method is opened 2 new orders by scheduler
     def make_market_and_stop_market_order(self):
+        # Don't place orders at the end of the last date, the market-on-stop order won't have time to fill
+        if self.time.date() == self.end_date.date() - timedelta(days=1):
+            return
+
         self.market_order(self.sp_500_e_mini.mapped, 1)
         self.stop_market_ticket = self.stop_market_order(self.sp_500_e_mini.mapped, -1, self.sp_500_e_mini.price * 1.1)