tstables

"TsTables is a simple extension to the PyTables library that helps with storing large volumes of high frequency time series data in the HDF5 format.

TsTables is being used to store hundreds of gigabytes of FX trading data for analysis and research. TsTables is designed for an append-once, read-lots workflow. It automatically partitions new time series data into daily tables when appending to a series, greatly speeding up lookup times over a “one big table” approach. TsTables also contains a function to query across date boundaries and join the result into one Pandas DataFrame for easier analysis."

https://github.com/afiedler/tstables

http://andyfiedler.com/projects/tstables/