tom_b, basically every shop cooks their own solution for just about everything. if you do mid- to low-frequency a Bloomberg will suffice. if you do high-frequency you are in the infrastructure game. you co-locate to the exchanges and battle for the milli- to microseconds. there are a few specialized databases in this area for dealing with TBs or rows.

everything else in the area of finance is a complete waste of time IMO. basically the financial system is toast. I hope that bitcoin will improve some of the absurd structures we have set up.

anyway, if you want to know some specifically you can go to nuclearphynance. There are some cracks around there. good traders would consider an MFE as the opposite of helpful, I'm sure. standard stochastic calculus is pretty much useless.