Are there an example how to create the book with Python using Tick History Market Depth by order?
Thanks for reaching out to us.
Please refer to the REST API Tutorial 5: On Demand market depth extraction tutorial.
Moreover, you can also refer to the REST API Reference Tree to see all available parameters in the TickHistoryMarketDepthExtractionRequest.
I hope that this information is of help.
The data is from the TickHistoryRawExtractionRequest.
As I know, we don't have an example that shows how to create the book from the raw data. However, we have an article that explains the Level II data: How to Sort & Process Level 2 Orderbook Data using EMA C++ API.