I need to copy files from one directory to another, depending on the existence of the file name in a table of SQL database.
For this I use the following code:
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File.Copy is as fast as it gets. You must keep in mind that you depend on the file transfer speed dictated by your hardware and at 20000 files, the latency for data access also comes into play. If you are doing this on a HDD, you could see a big improvement after switching to SSD or some other fast medium.
For this case alone, most likely the hardware is your bottleneck.
EDIT: I consider keeping the connection to the database open for such a long time as a bad practice. I suggest you fetch all the needed data in some in-memory cache (array, list, whatever) and then iterate through that as you copy the files. A db connection is a precious resource and on applications that must handle high concurrency (but not only), releasing the connection fast is a must.