How do I get implied volatility from TWS into R using IBrokers?

Question

Currently I have modified some code I found here to read in bid/ask prices for options in R. Then I feed those back to TWS using calculateImpliedVolatility to get implied volatility. It seems I should be able to get them without the second step using.twsTickType$MODEL_OPTION. I have tried to modify the same code I used for bid/ask prices but have been unable to get it to work. This is what I have tried:

eWrapper.data.Opt_Model <- function(n) {
  eW <- eWrapper(NULL)  # use basic template
  eW$assign.Data("data", rep(list(structure(.xts(matrix(rep(NA_real_,8),nc=8),0),
                                            .Dimnames=list(NULL,c("ImpVol","Delta","tv","pvdiv","gamma","vega",'theta','spot')))),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())
    nr.data <- NROW(data[[id]])
    if(tickType == .twsTickType$MODEL_OPTION) {
      data[[id]][nr.data,1:8] <- msg[4:11]
    } 
    #else
    # if(tickType == .twsTickType$ASK) {
    #    data[[id]][nr.data,2] <- msg[4]
    #  } 
    eW$assign.Data("data", data)
    c(curMsg, msg)
  }

  return(eW)
}

Answer 1

It took some time, but I got it to work.

> eWrapper.data.Opt_Model <- function(n) {   eW <- eWrapper(NULL)  # use
> basic template   eW$assign.Data("data",
> rep(list(structure(.xts(matrix(rep(NA_real_,8),nc=8),0),
>                                             .Dimnames=list(NULL,c('modelOption: impVol: ',' delta: ',' modelPrice:
> ',' pvDiv ',' gamma: ',' vega: ',' theta: ',' undPrice: ')))),n))
>      eW$tickOptionComputation <- function(curMsg, msg, timestamp, file, ...)    {
>     tickType = msg[3]
>     msg <- as.numeric(msg)
>     id <- msg[2] #as.numeric(msg[2])
>     data <- eW$get.Data("data") #[[1]]  # list position of symbol (by id == msg[2])
>     attr(data[[id]],"index") <- as.numeric(Sys.time())
>     nr.data <- NROW(data[[id]])
>     if(tickType == .twsTickType$MODEL_OPTION) {
>       data[[id]][nr.data,1:8] <- msg[4:11]
>     } 
>     #else
>     # if(tickType == .twsTickType$ASK) {
>     #    data[[id]][nr.data,2] <- msg[4]
>     #  } 
>     eW$assign.Data("data", data)
>     c(curMsg, msg)   }
>      return(eW) }