I'm looking to get Stack Overflowers' advice and suggestion on time-series libraries written in C++, some of the constraints and requirements for the library:

* Performance is very critical
* Capable of handling ***very large*** data sets (1 MB - 100 TB range)
* Various kind of discretization/grouping methodologies
* Basic functionality (n-avg, EMA, smoothing, forecasting, normalization)
* Suitable for use in a multi-threaded environments
* Free or open source preferred, however commercial libraries are welcome
* Libraries capable of delegating to [GPU](https://en.wikipedia.org/wiki/Graphics_processing_unit)-based calculations are welcome