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Option A: Use your binary heap normally, but introduce an intermediate cancellation object wrapping the callback. I.e. use mutation. Option B: Use a finger-tree. In the monoidal summary for each subtree, track priority and the range of cancellation IDs (& optionally tree size).
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Thanks for the suggestion. I'm not familiar with B, will look into it. Option A doesn't work for me: worst case I would have about 40 cancelled events in the queue and 4 active ones.