Low tech approach
Usage
var input = "[[1604666100000,0.02585,0.02585,0.02577,0.02577,2346260.5],[1604666400000,0.02577,0.02577,0.02571,0.02572,3853038.7000000002],[1604666700000,0.02572,0.02573,0.02568,0.02573,2525735.5],[1604667000000,0.02573,0.02578,0.02573,0.02574,2519284.3999999999],[1604667300000,0.02575,0.02582,0.02574,0.02578,1463562.6000000001],[1604667600000,0.02578,0.02587,0.02577,0.02585,2074134.3]]";
var results = JArray
.Parse(input)
.Select(x => new Candle(){
OpenTime = DateTimeOffset.FromUnixTimeMilliseconds(x[0].Value<long>()).DateTime,
Open = x[1].Value<decimal>(),
High = x[2].Value<decimal>(),
Low = x[3].Value<decimal>(),
Close = x[4].Value<decimal>(),
Volume = x[5].Value<decimal>()
}).ToList();
foreach(var item in results)
Console.WriteLine($"Open : {item.Open}, High : {item.High}, Low : {item.Low}, Close : {item.Close}, Volume : {item.Volume}");
Output
Open : 0.02585, High : 0.02585, Low : 0.02577, Close : 0.02577, Volume : 2346260.5
Open : 0.02577, High : 0.02577, Low : 0.02571, Close : 0.02572, Volume : 3853038.7
Open : 0.02572, High : 0.02573, Low : 0.02568, Close : 0.02573, Volume : 2525735.5
Open : 0.02573, High : 0.02578, Low : 0.02573, Close : 0.02574, Volume : 2519284.4
Open : 0.02575, High : 0.02582, Low : 0.02574, Close : 0.02578, Volume : 1463562.6
Open : 0.02578, High : 0.02587, Low : 0.02577, Close : 0.02585, Volume : 2074134.3