Using SortedContainers Types for IndexedList

from sortedcontainers import SortedListWithKey, SortedDict
from operator import itemgetter

class IndexedList(object):
    def __init__(self, *args, **kwargs):
        self.pk = 0
        self.indices = {}
        self.uniques = {'_pk': SortedDict()}
        self.keys = {'_pk': itemgetter(0)}

    def append(self, item):
        self.pk += 1
        item = (self.pk, item)
        for name in self.uniques:
            self.uniques[name][self.keys[name](item)] = item
        for name in self.indices:
            self.indices[name].add(item)

    def __iter__(self):
        return self.uniques['_pk'].values()

    def add_unique_index(self, name, key):
        key = lambda pair: key(pair[1])
        self.uniques[name] = SortedDict(zip(map(key, self), self))
        self.keys[name] = key

    def add_index(self, name, key):
        key = lambda pair: key(pair[1])
        items = zip(map(key, self), self)
        self.indices[name] = SortedListWithKey(items, key=itemgetter(0))

    def remove_unique(self, name, key):
        item = self.uniques[name][key]
        for name in self.uniques:
            del self.uniques[name][self.keys[name](item)]
        for name in self.indices:
            self.indices[name].remove(item)

    def remove_index(self, name, key):
        start = self.indices[name].bisect_left(key)
        end = self.indices[name].bisect_right(key)
        items = map(itemgetter(1), self.indices[name][start:end])
        for item in items:
            self.remove_unique('_pk', item[0])

book = IndexedList()
book.add_unique_index('order_id', lambda o: o.id)
book.add_index('account_id', lambda o: o.account_id)
book.add_index('price_time', lambda o: (o.price, o.time))

def add_order(order):
    book.append(order)

def del_order(order):
    book.remove_unique('order_id', order.id)

def close_account(account_id):
    book.remove_index('account_id', account_id)

def iter_matches(limit_price):
    for (price, time), order in book.indices['price_time']:
        if price > limit_price:
            break
        yield order