Implement the mechanism that combines multiple order of the same price in to one order and submit these to a higher level.
The new order should be linked with the original, so when the order is (partially) executed on a higher level the original orders can be traced back and will be filled accordingly.
Implement the mechanism that combines multiple order of the same price in to one order and submit these to a higher level.
The new order should be linked with the original, so when the order is (partially) executed on a higher level the original orders can be traced back and will be filled accordingly.