@backtrader ohoh I get it. My English understanding is really poor. Thanks for your patience.

@backtrader
I just define self.ATR as a list to store ATRs of different stocks.
What the better method should I use to store different stocks' indicators?

@ab_trader Thanks a lot. Let me try again.

@backtrader
I have many stocks, so I just want to store ATRs by a list.
My aim is:

self.ATR[0] = datas[0]'s ATR
self.ATR[1] = datas[1]'s ATR
......

Now I use bt.indicators.ATR can achieve this goal:

self.ATR = list(range(len(self.datas))) 
for index, stock_data in enumerate(self.datas): 
        self.ATR[index] = bt.indicators.ATR(self.datas[index], period=20)

But I still want to know why Ta-lib doesn't work. What is wrong with me?

Thanks for this valuable example, and why not put it in the document?

In the section Bracket Orders, there is a small error in my view in the subsection Manual Issuing of a Bracket

mainside = self.buy(price=13.50, exectype=bt.Order.Limit, transmit=False)
lowside  = self.sell(price=13.00, size=mainsize.size, exectype=bt.Order.Stop,
                     transmit=False, parent=mainside)
highside = self.sell(price=14.00, size=mainsize.size, exectype=bt.Order.Limit,
                     transmit=True, parent=mainside)

size=mainsize.size should be size=mainside.size

This is my code on strategy

class Turtle(bt.Strategy):

    def __init__(self):
        self.ATR = list(range(len(self.datas))) 
        for i in range(len(self.datas)):
            self.ATR[i] = bt.talib.ATR([self.datas[i].high, self.datas[i].low, self.datas[i].close], timeperiod=20) # P227

        self.sys = None 
        self.lasttrade = None

I used many datafeeds. When I use this code, the program never runs out.
When I commented out this code as follow

 self.ATR = list(range(len(self.datas))) 
        for i in range(len(self.datas)):
            self.ATR[i] = bt.talib.ATR([self.datas[i].high, self.datas[i].low, self.datas[i].close], timeperiod=20) # P227

Everything will be OK. What happened?
I hope someone can help me.

@backtrader Thanks for your help

The code in Quickstart really confuses me.
The code is as follows

class TestStrategy(bt.Strategy):

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

    # To keep track of pending orders
    self.order = None

def notify_order(self, order):
    if order.status in [order.Submitted, order.Accepted]:
        # Buy/Sell order submitted/accepted to/by broker - Nothing to do
        return

    # Check if an order has been completed
    # Attention: broker could reject order if not enough cash
    if order.status in [order.Completed]:
        if order.isbuy():
            self.log('BUY EXECUTED, %.2f' % order.executed.price)
        elif order.issell():
            self.log('SELL EXECUTED, %.2f' % order.executed.price)

        self.bar_executed = len(self)

    elif order.status in [order.Canceled, order.Margin, order.Rejected]:
        self.log('Order Canceled/Margin/Rejected')

    # Write down: no pending order
    self.order = None

def next(self):
    # Simply log the closing price of the series from the reference
    self.log('Close, %.2f' % self.dataclose[0])

    # Check if an order is pending ... if yes, we cannot send a 2nd one
    if self.order:
        return

    # Check if we are in the market
    if not self.position:

        # Not yet ... we MIGHT BUY if ...
        if self.dataclose[0] < self.dataclose[-1]:
                # current close less than previous close

                if self.dataclose[-1] < self.dataclose[-2]:
                    # previous close less than the previous close

                    # BUY, BUY, BUY!!! (with default parameters)
                    self.log('BUY CREATE, %.2f' % self.dataclose[0])

                    # Keep track of the created order to avoid a 2nd order
                    self.order = self.buy()

    else:

        # Already in the market ... we might sell
        if len(self) >= (self.bar_executed + 5):
            # SELL, SELL, SELL!!! (with all possible default parameters)
            self.log('SELL CREATE, %.2f' % self.dataclose[0])

            # Keep track of the created order to avoid a 2nd order
            self.order = self.sell()

Two questions:

1. what does len(self) mean and why it can be executed?
2. why we can call the function notify_order()? I read the bt.Strategy but found the answer.

@backtrader Thanks for your helping. "Answer authority" is the adjusted price by the dividends. And I just don't know how to speak it in English.
And if I feeds two data, I have to align them in advance according to datetime right? Is there such a solution in backtrader?