N-way merge sort (Python recipe) by Mike Klaas

ActiveState Code (http://code.activestate.com/recipes/511509/)

import heapq
def mergesort(list_of_lists, key=None):
    """ Perform an N-way merge operation on sorted lists.

    @param list_of_lists: (really iterable of iterable) of sorted elements
    (either by naturally or by C{key})
    @param key: specify sort key function (like C{sort()}, C{sorted()})
    @param iterfun: function that returns an iterator.

    Yields tuples of the form C{(item, iterator)}, where the iterator is the
    built-in list iterator or something you pass in, if you pre-generate the
    iterators.

    This is a stable merge; complexity O(N lg N)

    Examples::

    print list(x[0] for x in mergesort([[1,2,3,4],
                                        [2,3.5,3.7,4.5,6,7],
                                        [2.6,3.6,6.6,9]]))
    [1, 2, 2, 2.6, 3, 3.5, 3.6, 3.7, 4, 4.5, 6, 6.6, 7, 9]

    # note stability
    print list(x[0] for x in mergesort([[1,2,3,4],
                                        [2,3.5,3.7,4.5,6,7],
                                        [2.6,3.6,6.6,9]], key=int))
    [1, 2, 2, 2.6, 3, 3.5, 3.6, 3.7, 4, 4.5, 6, 6.6, 7, 9]

    print list(x[0] for x in mergesort([[4,3,2,1],
                                        [7,6.5,4,3.7,3.3,1.9],
                                        [9,8.6,7.6,6.6,5.5,4.4,3.3]],
                                        key=lambda x: -x))
    [9, 8.6, 7.6, 7, 6.6, 6.5, 5.5, 4.4, 4, 4, 3.7, 3.3, 3.3, 3, 2, 1.9, 1]


    """

    heap = []
    for i, itr in enumerate(iter(pl) for pl in list_of_lists):
        try:
            item = itr.next()
            toadd = (key(item), i, item, itr) if key else (item, i, itr)
            heap.append(toadd)
        except StopIteration:
            pass
    heapq.heapify(heap)

    if key:
        while heap:
            _, idx, item, itr = heap[0]
            yield item, itr
            try:
                item = itr.next()
                heapq.heapreplace(heap, (key(item), idx, item, itr) )
            except StopIteration:
                heapq.heappop(heap)

    else:
        while heap:
            item, idx, itr = heap[0]
            yield item, itr
            try:
                heapq.heapreplace(heap, (itr.next(), idx, itr))
            except StopIteration:
                heapq.heappop(heap)