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, 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; routing the subsequent request to a particular transactional server of the plurality of transactional servers using transaction affinity routing policy which identifies a relationship between the subsequent transaction and the stored affinity contexts established for the plurality of requests; and wherein said transaction routing policy: (a) routes the subsequent request to the particular transactional server associated with an affinity context which includes a same RM instance name, same database name, and same database service name as the subsequent request, (b) if no particular server is identified in step (a) routes the subsequent request to the particular transaction server associated with an affinity context including a same database name and same database service name as the subsequent request, (c) if no particular server is identified in steps (a) and (b) routes the subsequent request to the particular transaction server associated with an affinity context including a same database name and same RM instance name as the subsequent request, (d) if no particular server is identified in steps (a), (b) and (c) routes the subsequent request to the particular transaction server associated with an affinity context including a same database name as the subsequent request, and (e) if no particular server is identified in steps (a), (b), (c) and (d) routes the subsequent request to the particular transaction server using a load balancing function.