#region Fields
private double _open = 0, _marketOpen = 0, _low = 0, _high = 0;
private DateTime _currentDate, _previousDate;
private Data.SessionIterator _sessionIterator;
private static ReaderWriterLockSlim _readWriteLock;
private const int _retries 3;
private const int _delay = 1000;
private string _filepath = Path.Combine(new string[] { NinjaTrader.Core.Globals.UserDataDir, "bin", "Custom", "Indicators" });
private bool _fileExists;
#endregion

#region Properties
[NinjaScriptProperty]
[Display(Order = 1800, ResourceType = typeof(Custom.Resource), Name = "Filename", GroupName = "NinjaScriptParameters")]
public string Filename
{ get; set; }
#endregion

#region Methods
protected override void OnStateChange()
{
  base.OnStateChange();

  switch (State)
  {
    case State.SetDefaults:
      ...
      Filename = @"OMoHL.csv";
      break;
    case State.Configure:
      _currentDate = _previousDate = Core.Globals.MinDate;
      break;
    case State.DataLoaded:
      _sessionIterator = new SessionIterator(Bars);
      _fileExists = File.Exists(Path.Combine(_filepath, Filename);
      _readWriteLock = new ReaderWriterLockSlim();
      break;
  }
}

protected override void OnBarUpdate()
{
  base.OnBarUpdate();

  _previousDate = _currentDate;
  _currentDate = _sessionIterator.GetTradingDay(Time[0]);

  if (_currentDate != _previousDate)
  {
    // Routine for getting old values:
    if (State == State.Historical)
    {
      var entry = GetEntry();

      if (entry.Item5)
      {
        _open = entry.Item1;
        _marketOpen = entry.Item2;
        ...
      }
    }
    else
    {
      // Algo for getting new values:
      ...

      AddEntry(_currentDate, _open, _marketOpen, _high, _low, _filepath, _Filename);  // Given that all these arguments are fields in the class, I would imagine you could just change this to AddEntry().
    }
}

private void AddEntry(DateTime date, double open, double marketOpen, double high, double low, string path, string filename)
{
  StringBuilder newEntry = new StringBuilder();
  string[] instrumentName = Instrument.FullName.Split(' ');

  newEntry.Append(Environment.NewLine);
  newEntry.Append(date.ToString("yyyyMMdd") + ",");
  newEntry.Append(instrumentName[0].ToLowerInvariant() + ",");
  newEntry.Append(open.ToString(), ",");
  newEntry.Append(marketOpen.ToString(), ",");
  ...

  _readWriteLock.EnterWriteLock();
  try
  {
    for (var ii = 1; i <= _retries; ii++)
    {
      try
      {
        using (StreamWriter sw = new StreamWriter(Path.Combine(path, filename), true))
        {
          var t = Task.Run(() => sw.Write(newEntry.ToString()));
          t.Wait();
          t.Close();
          break;
        }
      }
      catch (IOException e)
      {
        Thread.Sleep(_delay);
      }
    }
  }
  finally
  {
    _readWriteLock.ExitWriteLock();
  }
}

private Tuple<double, double, double, double, bool> GetEntry()
{
  double open = 0, marketOpen = 0, high = 0, low = 0;
  bool entryFound = false;

  if (!_fileExists)
    return Tuple.Create(open, marketOpen, high, low, entryFound);

  using (TextFieldParser parser = new TextFieldParser(Path.Combine(_filepath, Filename)))
  {
    parser.Delimiters = new string[] { "," };
    string[] parts;
    DateTime entryDate;

    do
    {
      parts = parser.ReadFields();

      if (parts != null)
      {
        if (DateTime.TryParseExact(parts[0], "yyyyMMdd", null, System.Globalization.DateTimeStyles.AllowWhiteSpaces |
                                                               System.Globalization.DateTimeStyles.AdjustToUniversal, out entryDate))
        {
          if (_currentDate == entryDate)
          {
            string[] chartInstrument = Instrument.FullName.Split(' ');
            if (parts[1].Equals(chartInstrument[0], StringComparison.OrdinalIgnoreCase))
            {
              open = Convert.ToDouble(parts[2]);
              marketOpen = Convert.ToDouble(parts[3]);
              ...

              entryFound = true;
              break;
            }
          }
        }
      }
    } while (!entryFound && !parser.EndOfData);
  }

  return Tuple.Create(open, marketOpen, high, low, entryFound);
}
#endregion