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如果使用 IBrokers 包，如果标的合约今天没有成交量或没有最后价格，下面的代码最终会停止。

reqMktData(tws, ticker, eventWrapper = eWrapper.data(1), CALLBACK = snapShot)

我想做的是从 ewrapper 函数中删除交易量以及最后和最后的价格，这样它就不需要从 IBKR 中提取。话虽这么说，我对如何删除它有点困惑。

下面是来自 github 的 eWrapper.Code

eWrapper.data <- function(n) {
  # internally updated data
#  .data. <- character(8)
#  
#  get.data <- function() return(.data.)
#
  eW <- eWrapper(NULL)  # use basic template
  eW$assign.Data("data", rep(list(structure(.xts(matrix(rep(NA_real_,7),ncol=7),0),
                                      .Dimnames=list(NULL,
                                                     c("BidSize","BidPrice",
                                                       "AskPrice","AskSize",
                                                       "Last","LastSize","Volume")))),n))

  eW$tickPrice <- function(curMsg, msg, timestamp, file, ...) 
  {
    tickType = msg[3]
    msg <- as.numeric(msg)
    id <- msg[2] #as.numeric(msg[2])
    data <- eW$get.Data("data") #[[1]]  # list position of symbol (by id == msg[2])
    attr(data[[id]],"index") <- as.numeric(Sys.time())
#    data[[1]] <- rbind(data[[1]],.xts(matrix(rep(NA_real_,7),nc=7), Sys.time()))
    nr.data <- NROW(data[[id]])
    #data[[id]][1] <- as.numeric(Sys.time()) #timestamp
    if(tickType == .twsTickType$BID) {
      data[[id]][nr.data,1:2] <- msg[5:4]
    } else
    if(tickType == .twsTickType$ASK) {
      data[[id]][nr.data,3:4] <- msg[4:5]
    } else
    if(tickType == .twsTickType$LAST) {
      data[[id]][nr.data,5] <- msg[4]
    }
    eW$assign.Data("data", data)
    c(curMsg, msg)
  }
  eW$tickSize  <- function(curMsg, msg, timestamp, file, ...) 
  { 
    data <- eW$get.Data("data")
    tickType = msg[3]
    msg <- as.numeric(msg)
    id <- as.numeric(msg[2])
#    data[[1]] <- rbind(data[[1]],.xts(matrix(rep(NA_real_,7),nc=7), Sys.time()))
    attr(data[[id]],"index") <- as.numeric(Sys.time())
    nr.data <- NROW(data[[id]])
    #data[[id]][1] <- as.numeric(Sys.time()) #timestamp
    if(tickType == .twsTickType$BID_SIZE) {
      data[[id]][nr.data,1] <- msg[4]
    } else
    if(tickType == .twsTickType$ASK_SIZE) {
      data[[id]][nr.data,4] <- msg[4]
    } else 
    if(tickType == .twsTickType$LAST_SIZE) {
      data[[id]][nr.data,6] <- msg[4]
    } else
    if(tickType == .twsTickType$VOLUME) {
      data[[id]][nr.data,7] <- msg[4]
    }
    eW$assign.Data("data", data)
    c(curMsg, msg)
  }
  return(eW)
}

我已经尝试删除它们拉入“音量”、“最后一个”和“最后一个大小”的行，如下所示，但这仍然不起作用。提前致谢。

eWrapper.data <- function(n) {
  # internally updated data
  #  .data. <- character(8)
  #  
  #  get.data <- function() return(.data.)
  #
  eW <- eWrapper(NULL)  # use basic template
  eW$assign.Data("data", rep(list(structure(.xts(matrix(rep(NA_real_,7),ncol=7),0),
                                            .Dimnames=list(NULL,
                                                           c("BidSize","BidPrice",
                                                             "AskPrice","AskSize",
                                                             "Last","LastSize","Volume")))),n))
  
  eW$tickPrice <- function(curMsg, msg, timestamp, file, ...) 
  {
    tickType = msg[3]
    msg <- as.numeric(msg)
    id <- msg[2] #as.numeric(msg[2])
    data <- eW$get.Data("data") #[[1]]  # list position of symbol (by id == msg[2])
    attr(data[[id]],"index") <- as.numeric(Sys.time())
    #    data[[1]] <- rbind(data[[1]],.xts(matrix(rep(NA_real_,7),nc=7), Sys.time()))
    nr.data <- NROW(data[[id]])
    #data[[id]][1] <- as.numeric(Sys.time()) #timestamp
    if(tickType == .twsTickType$BID) {
      data[[id]][nr.data,1:2] <- msg[5:4]
    } else
      if(tickType == .twsTickType$ASK) {
        data[[id]][nr.data,3:4] <- msg[4:5]
      } 
    eW$assign.Data("data", data)
    c(curMsg, msg)
  }
  eW$tickSize  <- function(curMsg, msg, timestamp, file, ...) 
  { 
    data <- eW$get.Data("data")
    tickType = msg[3]
    msg <- as.numeric(msg)
    id <- as.numeric(msg[2])
    #    data[[1]] <- rbind(data[[1]],.xts(matrix(rep(NA_real_,7),nc=7), Sys.time()))
    attr(data[[id]],"index") <- as.numeric(Sys.time())
    nr.data <- NROW(data[[id]])
    #data[[id]][1] <- as.numeric(Sys.time()) #timestamp
    if(tickType == .twsTickType$BID_SIZE) {
      data[[id]][nr.data,1] <- msg[4]
    } else
      if(tickType == .twsTickType$ASK_SIZE) {
        data[[id]][nr.data,4] <- msg[4]
      } 
    eW$assign.Data("data", data)
    c(curMsg, msg)
  }
  return(eW)
}
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