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First time posting on this stack exchange, but I was using Polygon to get some Market Data recently, and I was curious about one thing.

Where do they get their data from? Might be a dumb question, but what's stopping "normal" investors from making their own API? Thanks!

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You need a connection to the data providers (e.g. exchanges). You can see details on Poligon's website.

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A counter question may be, what prevents you from building your own numpy or R charting library? Or a bit broader, bake your own bread, build your own car?

Usually the answer will be that someone already spent a lot of time and resources on building something that just works well, and trying to replicate this will just take unnecessary time.

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    $\begingroup$ If you would like to hook up to the NYSE directly, the prices are not cheap nyse.com/publicdocs/nyse/data/NYSE_Market_Data_Fee_Schedule.pdf and that's just 1 data source. There will usually be 1 or 2 intermediaries between that feed and an ordinary user, providing data checking/reformatting, storage, backup, and other necessary functions. $\endgroup$
    – nbbo2
    Commented May 7, 2022 at 12:16

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