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Knowing that an indexed column leads to a better performance, is it worthy to indexes all columns in all tables of the database? What are the advantages/disadvantages of such approach?
If it is worthy, is there a way to auto create indexes in SQL Server? My application dynamically adds tables and columns (depending on the user configuration) and I would like to have them auto indexed.
It is difficult to imagine real-world scenarios where indexing every column would be useful, for the reasons mentioned above. The type of scenario would require a bunch of different queries, all accessing exactly one column of the table. Each query could be accessing a different column.
The other answers don’t address the issues during the select side of the query. Obviously, maintaining indexes is an issue, but if you are creating the table/s once and then reading many, many times, the overhead of updates/inserts/deletes is not a consideration.
An index contains the original data along with points to records/pages where the data resides. The structure of an index makes it fast to do things like: find a single value, retrieve values in order, count the number of distinct values, and find the minimum and maximum values.
An index does not only take space up on disk. More importantly, it occupies memory. And, memory contention is often the factor that determines query performance. In general, building an index on every column will occupy more space than then original data. (One exception would be a column that is relative wide and has relatively few values.)
In addition, to satisfy many queries you may need one or more indexes plus the original data. Your page cache gets rather filled with data, which can increase the number of cache misses, which in turn incurs more overhead.
I wonder if your question is really a sign that you have not modelled your data structures adequately. There are few cases where you want users to build ad hoc permanent tables. More typically, their data would be stored in a pre-defined format, which you can optimize for the access requirements.