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stream_deltas

Function stream_deltas 

Source
pub fn stream_deltas(
    path: impl AsRef<Path>,
    instrument_id: InstrumentId,
    date: Option<Date>,
    chunk_size: usize,
    price_precision: Option<u8>,
    size_precision: Option<u8>,
    limit: Option<usize>,
) -> Result<impl Iterator<Item = Result<Vec<OrderBookDelta>>>>
Expand description

Streams [OrderBookDelta]s from a T-LIMITBOOK_FULL file in chunks of about chunk_size.

A chunk ends only at the end of an event, so it can exceed chunk_size; the opening snapshot is one event. A limit can end the last chunk partway through an event, which then ends with an F_LAST delta. Dates timestamps as load_deltas does, and infers each precision not given from the leading rows.

ยงErrors

Returns an error if chunk_size is outside [1, STREAM_CHUNK_SIZE_MAX], no date is given or found in the path, or the file cannot be opened. Each chunk is an error if a row is invalid or finer than its precision.