1. A method for supporting transaction processing in a transactional system comprising a plurality of transactional servers, and a clustered database comprising a plurality of resource manager (RM) instances, the method comprising: receiving a plurality of requests to the transactional system; routing each of the plurality of requests to a transactional server of the plurality of transactional servers, wherein the transactional server is connected to an RM instance of the plurality of RM instances; establishing for each of the plurality of requests an affinity context identifying a transactional server of the plurality of transactional servers, a database name, a database service name, and an RM instance name associated with transactions responsive to said each of the plurality of requests; storing in a shared memory the affinity contexts for said each of the plurality of requests; receiving a subsequent request to the transactional system; and routing the subsequent request to a particular transactional server of the plurality of transactional servers using a transaction affinity routing policy which identifies a relationship between the subsequent transaction and the stored affinity contexts established for the plurality of requests, wherein said transaction affinity routing policy performs the additional steps of: routing the subsequent request to the particular transactional server where the particular transactional server includes one of a same RM instance name, same database name, and same database service name as the subsequent request, and routing the subsequent request to the particular transaction server according to a load balancing function if no particular server is identified based on said one or more of a same RM instance name, same database name, and same database service name as the subsequent request.