  In this paper we consider the Euler scheme for a class of stochastic delay
differential equations driven by a linear fractional $\alpha$-stable L\'evy
motion with index $H\in(0,1)$. We establish the consistency of the scheme and
study the limit distribution of the normalized error process. We show that in
the rough case, i.e. when $H<1/\alpha$, the rate of convergence of the
simulation error is of order $\Delta_{n}^{H+1-1/\alpha}$ and that the limit
process is once again the solution of an (semi-linear) SDDE.
