I don't know much implementation details, but many stock exchanges use TIB (The Information Bus) messaging software from tibco.com for real-time trading...TIB handles network transport very reliably with optional support for certified delivery, and its publish/subscribe approach reduces network traffic. It has event based hooks to interface with data source and consumers, but the software itself does not manage persistent storage - just enqueues messages in RAM (or disk for certified delivery messages).
