First of all, I cannot pip install it on windows, therefore I used python setup.py install. It seems that -W and -Wundef is not compatible with MSVC cl.exe so I changed to mingw32 and added a distutils.cfg at python Lib/dist
I found this still cannot be compiled and I switched to mingw32-x64
Still no luck,
Eventually I found that these two lines in setup.py
" "-DVERSION="%s"" % VERSION_STR,
"-DLZ4_VERSION="r124"",
"

needs to be:

"
"-DVERSION=\"%s\"" % VERSION_STR,
"-DLZ4_VERSION=\"r124\"",
"
Hope this helps for anyone who is having trouble installing it under windows.