Thank you for all the information. May be the TDMS is adapted for application with 10000 channels but in our case, we have "only" 26 channels to measure with a low rate of 10Hz but during 1 or 2 days. I understand there is no memory leak with the .tdms, but anyway after 2 hours our RAM is full.
We solve the problem now by creating our own binary format in c#- where we can put EVERY kind of data. The index information are saved in an xml file wich is not bigger than 2kb and the reading and writing is quick (5 sec for 30MB). May be the format will not work for a high number of channels, but we have actually no need for this.