Consolidation with Rolling Window

Here is code snippet.

 

# region imports
from AlgorithmImports import *
# endregion

class PensiveFluorescentOrangeRhinoceros(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2018, 1, 1)  # Set Start Date
        self.SetEndDate(2019,1,1)
        self.SetCash(100000)  # Set Strategy Cash
        self.AddEquity("SPY", Resolution.Minute)
        self.Consolidate("SPY",timedelta(minutes=5),self.OnDataConsolidated)
        self.window = RollingWindow[TradeBar](5)
        self.swinghigh=0


    def OnData(self, data: Slice):
        if not self.window.IsReady:return

        if self.Portfolio.Invested:return

        if self.window[0].High < self.window[2].High and self.window[1].High < self.window[2].High and self.window[3].High < self.window[2].High and self.window[4].High < self.window[2].High:
            self.swinghigh=self.window[2].High
            self.Log("Looking for Swing High")
            self.Log("right side 1nd point >> {0}".format(self.window[0].High))
            self.Log("right side 2nd point  >> {0}".format(self.window[1].High))
            self.Log("Middle point  >> {0}".format(self.window[2].High))
            self.Log("Left side 2nd point  >> {0}".format(self.window[3].High))
            self.Log("Left side  1st point >> {0}".format(self.window[4].High))
            self.Log("Swing High >>{0}".format(self.swinghigh))

    def OnDataConsolidated(self,tradeBar):
        self.window.Add(tradeBar)
        self.Log(f'{tradeBar.Time}: {tradeBar.Open} - {tradeBar.EndTime}: {tradeBar.Close}')
        
                       

Your RollingWindow implementation looks correct to me.