The embodiment of the invention provides a time series data coding method and device, and the method comprises the steps: obtaining time series data and an original second-order difference sequence ofthe time series data, and obtaining a storage space Cold occupied by the compact coding of the original second-order difference sequence; splitting a second-order difference not smaller than a presetthreshold value in the original second-order difference sequence into a plurality of second-order differences smaller than the preset threshold value, and generating an identification sequence according to the new second-order difference sequence, the identification sequence being used for marking whether each second-order difference in the new second-order difference sequence is the original second-order difference or not; and obtaining a storage space Cs occupied by the compact code and the identification sequence of the new second-order difference sequence, and if the storage space Cs is smaller than the storage space Cold, generating a coding strategy according to the compact code and the identification sequence of the new second-order difference sequence. According to the embodimentof the invention, the coding strategy can be efficiently determined, and the defect that the prior art is easily influenced by sudden change points, abnormal points and missing values is effectively solved.