The present invention relates to processing of time series data. There is disclosed a method and apparatus for processing time series data, the method comprising: receiving a time series data set, wherein each element of the time series data set contains a timestamp and an original value associated with the timestamp, and times represented by all timestamps constitute a time series having fixed time intervals; converting each original value into a coded value occupying a smaller storage space, according to a predetermined monotone numerical compression coding scheme; dividing the times represented by all timestamps into a plurality of time intervals having a predetermined length; assembling coded values corresponding to all timestamps within each time interval into a data package such that the data package contains coded values arranged in an order of timestamps; and storing in a database record each data package and its associated identification of a time interval.