Check out the 2007 paper by Christophe Rhodes (SBCL maintainer as of 2018-03-19).
See Also: Proposed Extensions To ANSI
Topics: language extension
sb-sequence
An SBCL implementation of the protocol for user defined sequences. Strictly speaking, this is not a library but rather an implementation-specific feature but it's Common Lisp code and it's usable. (Note: the feature is implemented in ABCL as well.)