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Given a .NET environment with Windows CE, can you persist thousands of records per second in a local database (SQL Server 2008 - standard or CE).

What are the performance issues with persisting realtime instrument data in a database versus a log file?

+1  A: 

SQL Server 2008 standard is more than capable of those insertion rates PROVIDED you have hardware capable of supporting it.

The question you really need to be asking is do I require the ability to search the captured data quickly?

This SO answer might be of interest: What does database query and insert speed depend on?

The number (and width) of indexes on a table will obviously have an impact on insertion rate.

If you are considering open-source, then MySQL is often cited as being able to handle high volumes.

Mitch Wheat
the feed needs to be used for realtime display. the data storage can happen later for the sake of posterity/reproducibility and should not interfere with the realtime performance of the device.
mson
then perhaps collect the data to log files, and periodically (in an offline process) load those files into a database....
Mitch Wheat