pub fn encode_depths(data: &[OrderBookDepth]) -> Result<RecordBatch, ArrowError>Expand description
Encodes every level into nested bids and asks lists.
Each level contains a display price and size, count, and exact integer order ID.
Empty sides remain empty lists. Mixed instruments and depths share one schema.
Prices and sizes use Float64, with nulls for undefined values; use raw catalog
output when exact decimal values are required.
ยงErrors
Returns an error if Arrow cannot construct the batch or list offsets overflow.