Great compression performance now available for use in windows and more
https://github.com/mcmilk/7-Zip-zstd

You can also get there the multithreading c library for Brotli, Lizard, LZ4, LZ5 and ZStandard used in it
https://github.com/mcmilk/zstdmt

---

Python LZ4 lib

I've also found a good python multi-threaded lib for LZ4
https://github.com/Iotic-Labs/py-lz4framed

Easy to use

import lz4framed

compressed = lz4framed.compress(b'my normal text')

uncompressed = lz4framed.decompress(compressed)

file compression

with open('somefile.csv', 'wb') as f:
    # Context automatically finalises frame on completion, unless an exception occurs
    with Compressor(f) as c:
        try:
            while (...):
               c.update(moreData)
        except Lz4FramedNoDataError:
            pass

file decompression

with open('somefile.csv.lz4', 'rb') as f:
    try:
        for chunk in Decompressor(f):
           decoded.append(chunk)
    except Lz4FramedNoDataError:
        # Compress frame data incomplete - error case

command line utility

python3 -mlz4framed
USAGE: lz4framed (compress|decompress) (INFILE|-) [OUTFILE]

(De)compresses an lz4 frame. Input is read from INFILE unless set to '-', in
which case stdin is used. If OUTFILE is not specified, output goes to stdout.

---

Some benchmarks

Quick Benchmark: Gzip vs Bzip2 vs LZMA vs XZ vs LZ4 vs LZO

Tested were: Compression ratio, Compression time, Decompression time, Memory requirements on compression, Memory requirements on decompression, Time to compress, Time to decompress, Memory used, Compression ratio

https://catchchallenger.first-world.info/wiki/QuickBenchmark:GzipvsBzip2vsLZMAvsXZvsLZ4vsLZO