Hey guys,
I think Ninja can actually do this to some degree if you check "store realtime bar data" in options.
My interest though is to get into something more standard/open incase I'm not even using Ninja 3 years down the line. I guess in the meantime the market scanner in ninja would be the way to go.
I found some interesting post on elite searching for SQL. One thing that was interesting that I didn't know is that I guess relational databases aren't really ideal for time series data. It was mentioned a vector database is the way to go.
Someone posted a link to an open source vector DB and a commercial version
http://kx.com/
http://hdf.ncsa.uiuc.edu/HDF5/index.html
Could be interesting. MySQL would be cool but if I set this project up I don't want to hit a brick wall 3 years down the line because the DB is so huge and not using the right tool for the job.