Schedule end of month entry is skipping months

The issue you're encountering with the schedule.on() method skipping some months can be attributed to the way the month_end method is used. Here are some key points to consider:

1. Symbol Specification: The month_end method can take a symbol as an argument to determine the last tradable date for that specific symbol. If no symbol is provided, it defaults to the last calendar day of the month, which might not be a trading day.

2. Days Offset: Ensure that the days_offset parameter is set to zero. Any non-zero value might cause the event to fire on a different day than expected.

3. Extended Market Hours: The extended_market_hours parameter defaults to True. If your symbol does not trade on extended market hours, this might affect the tradable dates considered. You might want to set this parameter to False if you are not interested in extended market hours.

4. Trading Calendar: Check the trading calendar for the specified symbol to ensure there are no holidays or non-trading days that might affect the scheduled events.

To address the issue, you can modify the month_end method to include the symbol and ensure that the extended_market_hours parameter is set according to your requirements. Here's how you can adjust your code:

from AlgorithmImports import *
from datetime import timedelta

class GLDeom(QCAlgorithm):
    def initialize(self):
        self.set_start_date(2009, 1, 1)
        self.set_end_date(2009, 12, 31)
        self.set_time_zone(TimeZones.NEW_YORK)
        self.set_cash(10000)
        self.set_brokerage_model(BrokerageName.ALPACA, AccountType.MARGIN)
        self.gld = self.add_equity("GLD", Resolution.MINUTE).symbol    

        # Schedule entry at end of month, 2 minutes before market close
        self.schedule.on(
            self.date_rules.month_end(self.gld, extended_market_hours=False),
            self.time_rules.before_market_close(self.gld, 2),
            self.enter_position
        )

    def enter_position(self):
        self.debug(f"{self.time.date()}")

    def on_data(self, slice):
        pass

By specifying the symbol and setting extended_market_hours to False, you should see more consistent scheduling at the end of each month.

Sources: Scheduled Events - QuantConnect.com, Scheduled Events Algorithm, Paired Switching, Turn Of The Month In Equity Indexes, Seasonality Effect Based On Same Calendar Month Returns