Overall Statistics
using System;
using System.Globalization;
using QuantConnect.Data;
using QuantConnect.Data.Market;
using QuantConnect.Indicators;

namespace QuantConnect.Algorithm.CSharp
{ 
    public class CandlestickTradeBar5minESData : QCAlgorithm
    {
        private string _symbol = "ES";                
        public RollingWindow<ES5minData> priorBar = new RollingWindow<ES5minData>(2);
 
        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);                               
        }
        
        public void OnData(ES5minData data) 
        {
            priorBar.Add(data);
            if (!priorBar.IsReady) return;

            if (data.Time.TimeOfDay < new TimeSpan(9, 35, 00) ||
                 data.Time.TimeOfDay > new TimeSpan(12, 00, 00))
            {
                return;
            }
            else
            {
                if (data.Close < data.Open && data.Volume > priorBar[1].Volume)
                {                  
                    Debug(data.Time + " -> found Bearish Candle");                            
                }             
            }
        }
    }

    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; }
        
        /// <summary>
        /// Return the URL external source for the data: QuantConnect will download it an read it line by line automatically:
        /// </summary>
        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);
        }

        /// <summary>
        /// Convert each line of the file above into an object.
        /// </summary>
        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";

                cmBar.Time = DateTime.ParseExact(data[0] + data[1], "yyyyMMddhhmmss", CultureInfo.InvariantCulture);

                //User configured / optional data on each bar:
                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.ToInt32(data[6], CultureInfo.InvariantCulture);

                //This is the value the engine uses for portfolio calculations
                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 (Exception exception)
            {
                Console.WriteLine(exception.Message);
            }
            return cmBar;
        }
    }
}