In the FourHeapOrderBook class we are currently comparing the prices of the various orders. This is fine when you are using the standard ordering and auctions. However in order to generalize the four-heap algorithm I think it would be useful to compare orders directly.
In the
FourHeapOrderBookclass we are currently comparing the prices of the various orders. This is fine when you are using the standard ordering and auctions. However in order to generalize the four-heap algorithm I think it would be useful to compare orders directly.