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t-digest
A new data structure for accurate on-line accumulation of rank-based statistics such as quantiles and trimmed means
This is pretty cool. The title would be a bit more descriptive if it were “Fast Rolling Quantile Filters for Python”, since the high-pass/low-pass filter functionality seems to be the focus.
The README mentions it uses binary heaps - if you’re willing to accept some (bounded) approximation, then it should be possible to reduce memory usage and somewhat reduce runtime by using a sketching data structure like Dunning’s t-digest: https://github.com/tdunning/t-digest/blob/main/docs/t-digest....
There is an open source Python implementation, although I haven’t used it and can’t vouch for its quality: https://github.com/CamDavidsonPilon/tdigest
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InfluxDB
Power Real-Time Data Analytics at Scale. Get real-time insights from all types of time series data with InfluxDB. Ingest, query, and analyze billions of data points in real-time with unbounded cardinality.