Found solution.
I've changed the library and functions to open and read sockets.
Using base package I wrote:
msg3<-"function=subscribe|item=MI.EQCON.1|schema=last_price;ask;bid"
msg4<-"function=unsubscribe"
#open socket connection
socketPointer<-socketConnection('localhost', port=5333, server=FALSE)
#subscribe
writeLines(msg3, socketPointer)
#read data from file
readLines(con=socketPointer,n=1,ok=TRUE,warn=TRUE,encoding='UTF-8')
#unsubscribe
writeLines(msg4, socketPointer)
#close socket
close(socketPointer)
Now it works fine.
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