title: C++ time series library (analysis and processing)
body: <p>I'm looking to get Stack&nbsp;Overflowers' advice and suggestion on time-series libraries written in C++, some of the constraints and requirements for the library:</p>
  
  <ul>
  <li>Performance is very critical</li>
  <li>Capable of handling <strong><em>very large</em></strong> data sets (1&nbsp;MB - 100&nbsp;TB range)</li>
  <li>Various kind of discretization/grouping methodologies</li>
  <li>Basic functionality (n-avg, EMA, smoothing, forecasting, normalization)</li>
  <li>Suitable for use in a multi-threaded environments</li>
  <li>Free or open source preferred, however commercial libraries are welcome</li>
  <li>Libraries capable of delegating to <a href="https://en.wikipedia.org/wiki/Graphics_processing_unit" rel="noreferrer">GPU</a>-based calculations are welcome</li>
  </ul>