We discuss the thermodynamic aspects of a single qubit based device, powered by weak quantum measure-ments, and feedback controlled by a quantum Maxwell's demon. We discuss both discrete and time-continuous operation of the measurement based device at finite temperature of the reservoir. In the discrete example where a demon acquires information via discrete weak measurements, we find that the thermodynamic variables includ-ing the heat exchanged, extractable work, and the entropy produced are completely determined by an information theoretic measure of the demon's perceived arrow of time. We also discuss a realistic time-continuous operation of the device where the feedback is applied after a sequence of weak measurements. In the time-continuous limit, we derive the exact finite-time statistics of work, heat, and entropy changes along individual quantum trajectories of the quantum measurement process, and relate them to the demon's arrow of time.