Continous DB connectivity is a bad idea, as it ties up resources and (as mentioned) suffers from socket issues. If this is a desktop app, consider creating a server (I usually use a windows service) which will be responsible for receiving the data feed from the source and notify the clients. This can be done using many technologies, but I favour remoting with custom event sinks. Then in your server have a routine which will every so often (5 minutes, 30 seconds, however often you choose) save all your current orders to the DB.
Hope this helpes,