> A year ago, I naively wrapped the API and certainly felt this pain.

Most people, before being confronted to it, have no idea how big market data feeds really are: I certainly had no idea what I was getting into. There's a reason all these subscriptions are that pricey.

Here's an example of the pricing for the OPRA feed for Databento you mentioned:

https://databento.com/pricing#opra

We're talking about feeds that sustain 25+ Gb/s and can have spikes at twice or even three times that. And that's only for options market data.

Having a bandwith big enough, storing, analyzing such amount of data: everything becomes problematic as such scales.

As to me I'm reusing my brokers' feeds (as I already pay for them): it's not a panacea but I get the info I need (plus balances/orders/etc. tied to my accounts).