In Ninjatrader, I can define a data series class:

An IntSeries is a special type of data structure that holds a series of int values and always contains the same number of elements as bars in a chart. 

#region Variables
private IntSeries myIntSeries; // Define a IntSeries variable


// Create a IntSeries object and assign it to the variable
protected override void Initialize()
    myIntSeries = new IntSeries(this); // "this" refers to the indicator, or strategy
                                      // itself. This syncs the IntSeries object
                                       // to historical data bars


Is there a way that I should convert this type of class for my strategy to work in QuantConnect?