You can change your DMA Channel from AUTO to AUTO_SIGNAL in the CyU3PDmaChannelCreate API. Now you will get DMA Callbacks whenever a new buffer arrives i.e when data streaming starts. Now you can turn on the LED. When there is no callbacks triggered for quite some time, you can assume that the transfer has stopped and Turn off the LED.
Please refer the example project USBBulkLoopAutoSignal on how to handle a auto signal channel.