pip is supposed to handle this, but something changed, and it doesn't seem to handle it properly for source installs anymore. I will fix it in a future version.
It's not looking for Elasticsearch, the search engine. It's looking for elasticsearch-py, the Python module. Try running pip install -U elasticsearch==5.5.2 and then try setup again.
Other modules you may have to install first include:
Apache, Apache Lucene, Apache Hadoop, Hadoop, HDFS and the yellow elephant
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