https://github.com/docker/docker-py

A Python library for the Docker Remote API. It does everything the docker command does, but from within Python – run containers, manage them, pull/push images, etc.

create_container:

Creates a container that can then be .start() ed. 
Parameters are similar to those for the docker run 
command except it doesn't support the attach options (-a).

The source code of create_container

def create_container(self, image, command=None, hostname=None, user=None,
                     detach=False, stdin_open=False, tty=False,
                     mem_limit=None, ports=None, environment=None,
                     dns=None, volumes=None, volumes_from=None,
                     network_disabled=False, name=None, entrypoint=None,
                     cpu_shares=None, working_dir=None, domainname=None,
                     memswap_limit=None, cpuset=None, host_config=None,
                     mac_address=None, labels=None, volume_driver=None,
                     stop_signal=None, networking_config=None):

But I found links at start function:

def start(self, container, binds=None, port_bindings=None, lxc_conf=None,
          publish_all_ports=None, links=None, privileged=None,
          dns=None, dns_search=None, volumes_from=None, network_mode=None,
          restart_policy=None, cap_add=None, cap_drop=None, devices=None,
          extra_hosts=None, read_only=None, pid_mode=None, ipc_mode=None,
          security_opt=None, ulimits=None):

So I think you should:

from docker import Client
>>> cli = Client(base_url='tcp://127.0.0.1:2375')
>>> container = cli.create_container(
...     image='busybox:latest',
...     command='/bin/sleep 30')
>>> response = cli.start(container=container.get('Id'),links=[('EXISTING_CONTAINER', 'LINK_NAME')])

The working example (DO)

I am using CoreOS on DO:

1. run docker container and mount inside the /var/run/docker.sock from host
2. install tools
3. run test container EXISTING_CONTAINER
4. run python example

The set of commands:

docker run -it -v /var/run/docker.sock:/var/run/docker.sock ubuntu:12.04 bash
apt-get update;apt-get install python-pip -y;pip install docker-py
docker run -d --name EXISTING_CONTAINER busybox   sh -c "while true; do sleep 1;done"

Python example

from docker import Client
cli = Client(base_url='unix://var/run/docker.sock', version='auto')
container = cli.create_container(
image='busybox:latest',
command='/bin/sleep 30')
response = cli.start(container=container.get('Id'),links=(('EXISTING_CONTAINER', 'LINK_NAME'))

The result on host:

wp-coreos-512mb-ams2-01 ~ # docker ps
CONTAINER ID        IMAGE               COMMAND                  CREATED             STATUS              PORTS               NAMES
2f58e661579d        busybox             "sh -c 'while true; d"   23 seconds ago      Up 22 seconds                           EXISTING_CONTAINER
6f08dd3f5017        busybox:latest      "/bin/sleep 30"          9 minutes ago       Up 5 seconds                            condescending_brown