Sparkfun CAN Shield BMW OBD2 reading
First off I cannot say much about the library that you are using I have't tried that one yet as for the shield i have some of those and there are two versions of them check your PIN outs on them the cs pin is either on d9 or d10

the other thing is make sure that you are in the right operation mode ie. Normal and maybe give this library a try I have had lots of success with this one:
https://github.com/coryjfowler/MCP_CAN_lib

as for the baud rate I have tried all types of ways of getting the right baud rate for certain vehicles but the best remains start small and step it up till you get the one that gives you reply 

make sure that you ground the Arduino to the car as well it works without that but sometimes it does nothing If you are using the OBDII cable it should be grounded by default