Threadstatsd set metric

[johnistan]

There appears to be a disconnect between dogstatd and threadstatsd.

the set method is not supported. What is the equivalent in the thread version?

https://github.com/DataDog/datadogpy/blob/master/datadog/dogstatsd/base.py#L227

[yannmh]

Hey @jofusa,

You are right, the set method is currently missing from the ThreadStats module.
Unfortunately, I can't think about any equivalent that would not require to maintain a local Python's set(), whose size would be submitted a gauge and reset.

In the meantime, I am adding this issue to our 0.12.0 milestone, so it get addressed in the next release.