I have something like this. It will error when trying to access the 5 minute close price.

Shouldn't there be a piece of code in intialize that is something simple like timeframe = X. Seems like this was made difficult just for the sake of making something difficult.

minutedata = TradeBarConsolidator(timedelta(minutes=5))
minutedata.DataConsolidated += self.minutedata
self.SubscriptionManager.AddConsolidator(self.symbol, minutedata)

def minutedata(self, sender, bar):
close = bar[self.symbol].Close