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Interesting project https://github.com/facebookincubator/CG-SQL
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Seems the cql build itself doesn't require pthreads. -lpthreads is mentioned in the Makefile but only used for the test targets.

That said I'm using gcc from MinGW-W64 and a basic pthreads test does work. It provides a small libwinpthread-1.dll (~51K) but that's the only dependency of the resulting executable.