http://www.theserverside.com/news/thread.tss?thread_id=42563

Very biased towards Java (banks do write real time trading applications in .NET - my client is one of them), but worth listening to as it gives a good idea of what tools are being used in banks i.e. Tibco Rendezvous, and what the Java equivalent is for the .NET stuff we do.

Also worth reading the comments in the thread afterwards. One of the things discussed is "in memory" databases -

http://www.oracle.com/timesten/index.html

Oracle have TimesTen, but I can't find anything being developed over at Microsoft.