@vladisld Thanks for you advice. I thought about define custom data feed, but there are thousands of stocks when I run the strategy, and they share a same "my_ind_data" line(and "my_ind_data" is not the only custom data). so that will increase memory usage obviously.

I try this , but fail

# Create a Stratey
class TestStrategy(bt.Strategy):
    params = (('maperiod', 60), )

    def log(self, txt, dt=None):
        ''' Logging function fot this strategy'''
        dt = dt or self.datas[0].datetime.date(0)
        print('%s, %s' % (dt.isoformat(), txt))

    def __init__(self):
        # Keep a reference to the "close" line in the data[0] dataseries
        self.dataclose = self.datas[0].close
        self.sma = bt.indicators.SimpleMovingAverage(
            self.datas[0], period=self.params.maperiod)

        # my question is here
        first_date = self.datas[0][0]

        my_ind_data = mydb.get_my_data("news_hit").loc[first_data:]
        news_ind = bt.indicators.SimpleMovingAverage(my_ind_data,period=5)

In def init of a strategy, I need to get external data depend on the first day of data-feed. Is it possible to to that?

# Create a Stratey
class TestStrategy(bt.Strategy):
    params = (('maperiod', 60), )

    def log(self, txt, dt=None):
        ''' Logging function fot this strategy'''
        dt = dt or self.datas[0].datetime.date(0)
        print('%s, %s' % (dt.isoformat(), txt))

    def __init__(self):
        # Keep a reference to the "close" line in the data[0] dataseries
        self.dataclose = self.datas[0].close
        self.sma = bt.indicators.SimpleMovingAverage(
            self.datas[0], period=self.params.maperiod)

        # my question is here
        first_date = ?????

        my_ind_data = mydb.get_my_data("news_hit").loc[start_day:]
        news_ind = bt.indicators.SimpleMovingAverage(my_ind_data,period=5)