1. A system for storing market data, the system comprising: a computer that receives market data; and a multi-session write-once computer database operable with the computer for storing the market data, wherein the market data comprises data regarding individual transactions for investment instruments; wherein the market data regarding the individual transactions for a particular one of the investment instruments is stored in one of a plurality of ticks in the database, wherein there is one tick for each transaction, each tick comprising a plurality of fields, including at least one field identifier field and a value field associated with the at least one field identifier field, wherein there is one value field for each field identifier field in the tick, wherein the ticks have a variable number of fields, including a variable number of field identifier fields, depending on the received market data.