KDB+ http://kx.com/kdb-plus.php I have no affiliation, other than being a customer. Its as close to a standard as you can find in finance. There are many useful tutorials out there that let you try it out and you can usually get an eval version to try before you buy. http://code.kx.com/wiki/Startingkdbplus/contents If you find something that is comparable in terms of performance and features, but cheaper, please mail…
If you want a quick video guide to getting started, there's: http://www.timestored.com/kdb-guides/getting-started-kdb
Even the java driver is written similar to the C code :) http://code.kx.com/wsvn/code/kx/kdb%2B/c/jdbc.java