[R-SIG-Finance] IBrokers, TWS and eWrapper.data.Last.R

[Niklas K]

Hi!

I am trying to achieve the same as A. Zege discussed on this list 
earlier (link: 
http://r.789695.n4.nabble.com/how-to-get-quotes-with-IBrokers-td2329328.html 
) which he seemed to accomplish. That is I need to poll a large number 
of very thinly traded instruments.


Based on the earlier discussion and the help of Garrett (here: 
http://stackoverflow.com/questions/15096987/ibrokers-reqmktdata-how-to-add-timeout-to-the-callback-function 
) I created an ewrapper with timeout that returns values even if not all 
values have been filled.


The code for it is here:
http://pastebin.com/FYp3dwCX

The problem I have with this callback is that when it has been called 
usually 2-3 times execution will stop with the error:
Error in file[[id]] : subscript out of bounds

I am not sure what would cause this kind of error and I havent been able 
to sort it out.

I make the call to it for example like this:
opts <- reqContractDetails(tws, twsOption(local="",  expiry=expir_date, 
right=put_or_call, symbol=stk))
opt_prices <- reqMktData(tws, Contract = opts, 
eventWrapper=eWrapper.data.Last(length(opts)),CALLBACK=snapShot)



If anyone has tips or has an wrapper file that would accomplish this I 
would be very grateful!

BR,
Niklas