PR: Optimize to_proto with Heap-Based Top-N Merge#1
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Summary
This PR rewrites the
to_protoimplementation to use a more efficient heap-based merge strategy, replacing the previous BTreeMap-based approach. The new logic takes advantage of the fact that each ContributorSnapshot already contains sorted bid and ask levels.Key Improvements
Implements an optimized k-way merge using a BinaryHeap to maintain the top-N bid and ask levels across all contributors.
Introduces an in-place traversal mechanism (DequeueLevels) to eliminate unnecessary memory allocations and data copying.
Ensures correct handling of price ties: all levels at the same price are included together.
Maintains correctness and the same output structure as before.
Performance
Achieved a 55%+ improvement in execution time.
to_protonow completes in approximately 2 microseconds under benchmark conditions.Compatibility
Output remains fully backward-compatible.
All existing unit tests pass unchanged.