A system receiving time series data will store the data in a first format suited for quick writing. That data will subsequently be converted from the first format to a second format better suited than the first format for compact storage and queries. Over time, the data in the second format can be aggregated and/or down sampled. In one embodiment, the first format includes a set of blocks of information, with each block of information storing data for a set of metrics during a time period. The second format includes a header, a set of blocks of data and a footer. Each bock of data in the second format stores information for a metric over multiple time periods. The footer includes pointers to each block of data.