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Are there any ways (better than using UrlFetch) to connect to any external database from AppEngine?

I already know about hosted SQL databases in App Engine for Business, but they are not free and will be avialable in Q2 2011, so it's not an option right now.

I like datastore very much, but customers don't like vendor lock or have other reasons.

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Roughly speaking, no.

The big demand of GAE is the integrated, scalable, cloud backend. Without the backend hardware, it's functionally Django on bigtables. If the customers (quite rightly) don't like vendor lockin, GAE is not for them.

What features of GAE would you keep, if not for the backend?

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All databases have "vendor lock-in" to some degree. Maybe your customers are already locked into their current database and are reluctant to move, or maybe their code is already written with a specific variant of SQL. There's no avoiding that, so the question becomes "which database gives me the most flexibility with AppEngine?"

Along with AppEngine's built-in databases -- Cloud Storage, Cloud Datastore and Cloud SQL -- there are Google's Fusion Tables. They come with an API and interfaces for Google Drive (as a spreadsheet), Google Maps and Google Charts. All of these reduce lock-in by using standard SQL or REST API queries, and Fusion Tables provide CSV uploads/downloads.

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