using System;
using QuantConnect.Data.Consolidators;
using QuantConnect.Data.Market;

namespace QuantConnect.Algorithm.CSharp.My_Algorithms
{
    class Consolidator : QCAlgorithm
    {
        private string _symbol = "ES";
        TradeBarConsolidator _consolidator;

        public override void Initialize()
        {
            SetStartDate(2015, 12, 16);  //Set Start Date 
            SetEndDate(2015, 12, 16);    //Set End Date
            SetCash(100000);             //Set Strategy Cash

            AddData<ES5minData>(_symbol);

            _consolidator = new TradeBarConsolidator(TimeSpan.FromDays(0));
            _consolidator.DataConsolidated += ESDaily;
            SubscriptionManager.AddConsolidator(_symbol, _consolidator);
        }

        private void ESDaily(object o, TradeBar bar)
        {
            if (Time.TimeOfDay < new TimeSpan(9, 30, 00) ||
                Time.TimeOfDay > new TimeSpan(12, 00, 00))
                return;

            Debug(Time.ToString("") + " " + bar.Low);
        }

        public void OnData(ES5minData data)
        {
        }
    }
}

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 DateTime EndTime
        {
            get { return (Time + Period); }
            set { Time = (value - Period); }
        }

        public new TimeSpan Period
        {
            get { return TimeSpan.FromMinutes(5); }
        }

        public override SubscriptionDataSource GetSource(SubscriptionDataConfig config, DateTime date, bool isLiveMode)
        {
            return new SubscriptionDataSource("https://www.dropbox.com/s/2jiaz2b9nv04doj/ES%202015-01-02%20-%202015-12-31%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;
        }
    }
}