using System;
using QuantConnect.Indicators;

namespace QuantConnect.Algorithm.CSharp.My_Algorithms
{ 
    public class MAalgorithm : QCAlgorithm
    {
        private string _symbol = "ES";        
        ExponentialMovingAverage _ema;
        SimpleMovingAverage _sma;

        public override void Initialize()
        {
            SetStartDate(2016, 01, 04);  //Set Start Date
            SetEndDate(2016, 01, 04);    //Set End Date
            SetCash(100000);             //Set Strategy Cash
             
            AddData<ES5minData>(_symbol);

            _ema = EMA(_symbol, 8);
            _sma = SMA(_symbol, 40);                      
        }
        
        public void OnData(ES5minData data) 
        {
            if (data.Time.TimeOfDay < new TimeSpan(09, 35, 00) ||
                data.Time.TimeOfDay > new TimeSpan(12, 00, 00))
                return;

            if (!_ema.IsReady || !_sma.IsReady) return;
            Log(data.Time + " -> " + "EMA = " + _ema + "; SMA = " + _sma);
        }
    }
}

using System;
using System.Globalization;
using QuantConnect.Data;
using QuantConnect.Data.Market;

namespace QuantConnect.Algorithm.CSharp.My_Algorithms
{
    public class ES5minData : TradeBar
    {
        public decimal UpperShadow { get; set; }
        public decimal LowerShadow { get; set; }
        public decimal HighLow { get; set; }
        public decimal RealBody { get; set; }
        public decimal UpperShadowPercent { get; set; }
        public decimal LowerShadowPercent { get; set; }

        public override SubscriptionDataSource GetSource(SubscriptionDataConfig config, DateTime date, bool isLiveMode)
        {
            return new SubscriptionDataSource("https://www.dropbox.com/s/nybrjl87y877flp/ES%202016-01-04%20-%202016-12-19%20-%20EST.csv?dl=1", SubscriptionTransportMedium.RemoteFile);
        }

        public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode)
        {
            ES5minData cmBar = new ES5minData();

            try
            {
                var data = line.Split(',');
                //Required.
                cmBar.Symbol = "ES";

                if (data[1].Length == 5)
                {
                    var theDate = DateTime.ParseExact(data[0], "yyyyMMdd", CultureInfo.InvariantCulture);
                    var theTime = TimeSpan.ParseExact(data[1].Insert(0, "0"), "hhmmss", CultureInfo.InvariantCulture);
                    cmBar.Time = theDate + theTime;
                }
                else
                {
                    var theDate = DateTime.ParseExact(data[0], "yyyyMMdd", CultureInfo.InvariantCulture);
                    var theTime = TimeSpan.ParseExact(data[1], "hhmmss", CultureInfo.InvariantCulture);
                    cmBar.Time = theDate + theTime;
                }

                cmBar.Open = Convert.ToDecimal(data[2], CultureInfo.InvariantCulture);
                cmBar.High = Convert.ToDecimal(data[3], CultureInfo.InvariantCulture);
                cmBar.Low = Convert.ToDecimal(data[4], CultureInfo.InvariantCulture);
                cmBar.Close = Convert.ToDecimal(data[5], CultureInfo.InvariantCulture);
                cmBar.Volume = Convert.ToInt64(data[6], CultureInfo.InvariantCulture);

                cmBar.Value = cmBar.Close;

                if (cmBar.Close > cmBar.Open)
                {
                    cmBar.UpperShadow = (cmBar.High - cmBar.Close);
                    cmBar.LowerShadow = (cmBar.Open - cmBar.Low);
                    cmBar.RealBody = (cmBar.Close - cmBar.Open);
                }
                else
                {
                    cmBar.UpperShadow = (cmBar.High - cmBar.Open);
                    cmBar.LowerShadow = (cmBar.Close - cmBar.Low);
                    cmBar.RealBody = (cmBar.Open - cmBar.Close);
                }
                cmBar.HighLow = (cmBar.High - cmBar.Low);

                cmBar.UpperShadowPercent = (cmBar.UpperShadow / cmBar.HighLow * 100);
                cmBar.LowerShadowPercent = (cmBar.LowerShadow / cmBar.HighLow * 100);
            }
            catch
            {

            }
            return cmBar;
        }
    }
}