As data collections become larger and larger, data loading evolves to a major bottleneck. Many applications already avoid using database systems, e.g., scientific data analysis and social networks, due to the complexity and the increased data-to-query time. For such applications data collections keep growing fast, even on a daily basis, and we are already in the era of data deluge where we have much more data than what we can move, store, let alone analyze. Our contribution in this paper is the design and roadmap of a new paradigm in database systems, called NoDB, which do not require data loading while still maintaining the whole feature set of a modern database system. In particular, we show how to make raw data files a first-class citizen, fully integrated with the query engine. Through our design and lessons learned by implementing the NoDB philosophy over a modern DBMS, we discuss the fundamental limitations as well as the strong opportunities that such a research path brings. We identify performance bottlenecks specific for in situ processing, namely the repeated parsing and tokenizing overhead and the expensive data type conversion costs. To address these problems, we introduce an adaptive indexing mechanism that maintains positional information to provide efficient access to raw data files, together with a flexible caching structure. Our implementation over PostgreSQL, called PostgresRaw, is able to avoid the loading cost completely, while matching the query performance of plain PostgreSQL and even outperforming it in many cases. We conclude that NoDB systems are feasible to design and implement over modern database architectures, bringing an unprecedented positive effect in usability and performance.