Function parse_book_depth 

pub fn parse_book_depth(
    book: &Book,
    depth: usize,
    instrument: &InstrumentAny,
) -> Result<OrderBookDepth>

Converts a fixed-depth book5, book20, or book50 message into its best depth levels per side, taking ts_event from time_exchange and ts_init from time_coinapi.

CoinAPI reports no order counts, so every level count is zero.

Errors

Returns an error if a kept level is finer than the instrument precision or a timestamp is invalid.