I have the same problem. Its been happening for months now, i just havent tried to figure out what is wrong. I follow the same steps as you outline, and atleast 50% of the time some stocks (usually 2 or 3) have Nan data. I also wrote code to auto stop and restart but that didnt work. Strangely what does work and is what i do each day is go to TWS refresh a quote screen for each stock that is Nan'ing, then restart the reqMktData call.....and wulla it works.....no idea why. Im keen to hear what the problem/solution might be.....
