Shell - Deal with multiple command history files

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http://unix.stackexchange.com – Where I work, for security and auditing purpose, we have to keep one history file for each session (with ip, user, date, etc in the file name). Obviously, the HISTFILE variable, is set to read only, therefore we cannot set a different history file. The big issue is that we cannot search for old commands, except doing a grep on the older files. Do you please have a simple workaround or even a better solution to keep the auditing and still be able to share the command history across multiple sessions? We use ksh and bash Thanks in advance! (HowTos)