Why can't I catch any fish in Chicago Lake Michigan?

I live on the Chicago side of Lake Michigan. I went fishing a few weeks ago and stood for 3 hours catching nothing! I want to know what kind of fish are in lake Michigan and what size hook and what bait to use! Is there a certain time where it is better to fish? I went during the afternoon. And if I need a fishing license. Thanks, 10 points to the best answer! I would not mind catching any type of fish.
 
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