Why "good market data" is harder than it looks

If you have ever tried to build anything that depends on real-time US equity data, you've discovered the same uncomfortable truth: the API surface is fragmented, the pricing is opaque, and the data quality varies more than the marketing pages would suggest. A free Yahoo CSV is not the same product as a SIP feed, and most of the gap between "I have a Python script that works" and "I have a scanner I trust" lives in that distance.

This guide is an honest comparison of the five providers most US small-cap traders actually use in 2026: Polygon.io, Alpaca Markets, Finnhub, Tradier, and Databento. We are deliberately not going to tell you which one BullAlert uses internally — our stack stays opaque on purpose — but we have run sustained workloads on all five over the last two years and the trade-offs below come from that experience. Educational only, nothing here is financial advice.

The latency tax — SIP vs IEX vs delayed

Before naming any provider, the most important thing to understand is the difference between consolidated tape and single-exchange tape. A SIP feed (CTA/UTP) aggregates trades and quotes across all US equity exchanges; an IEX-only feed is a snapshot of one exchange (which usually represents 2–4% of volume on a given small cap). Delayed feeds are the same data shifted 15 minutes. For a small-cap momentum scanner the difference between them is the difference between a useful product and a useless one.

Real-time SIP is expensive. Most providers charge $99–$200/month for it, and the price has been creeping up as exchanges raise the underlying market-data fees. IEX-only is cheap or free but produces ghost prices on illiquid names: a small cap can show a $4.20 last-trade on IEX while NASDAQ has it printing at $4.85. Delayed data is fine for charting and backtesting, useless for live signals. Pick the right tier for the job.

Polygon.io — the flexible all-rounder

Polygon is the provider most active retail-quant projects start with, and for good reasons. They sell SIP-grade real-time equity data, options, futures, forex, and crypto from a single REST/WebSocket API with consistent schemas across asset classes. Their historical bar API goes back twenty years, and the recent additions (corporate actions, ticker fundamentals, news) make it close to a one-stop shop.

What you get for the money:

Stocks Starter ($29/mo): 15-minute delayed, REST only. Fine for charting or end-of-day workflows. Bad for any live scanner.
Stocks Developer ($79/mo): Real-time, but only NASDAQ Basic (one exchange). Acceptable for medium-cap names; lossy on small caps.
Stocks Advanced ($199/mo): Full SIP (CTA + UTP). Real-time bars, trades, quotes, all exchanges. The tier you need for any serious scanner work.

Polygon's strengths are breadth, documentation, and library support — the official Python client is mature and there are good third-party wrappers in TypeScript, Go, and Rust. Weaknesses: pricing climbs steeply at the higher tiers, the WebSocket can have brief reconnect storms during high-volume sessions, and historical-bar pagination is fiddly for very deep queries. None of these are dealbreakers; they are the kind of friction that shows up after a few months of production use.

Alpaca Markets — broker-bundled SIP

Alpaca occupies a unique slot in the market: they are a registered broker, but they also sell their market-data feeds as a stand-alone API. The "Algo Trader Plus" plan ($99/mo) bundles real-time SIP equity data with unlimited API calls, which is one of the better price-per-bit offers in the market for small-cap workloads. If you want broker integration later (paper or live), the same account already has it.

Important caveat: Alpaca's SIP is real-time and IEX-clean, but their bar aggregation is server-side. For high-frequency strategies that aggregate trades themselves, that server-side aggregation can hide mid-bar information; for a small-cap momentum scanner operating on 1-minute or 5-minute bars, it is invisible. If you need raw L1 quotes plus last-trade tape, Alpaca exposes that too via WebSocket.

Strengths: clean documentation, excellent Python library, no per-call quota on the paid plan, broker integration available without switching vendors. Weaknesses: limited asset coverage (US equities and crypto only — no options, futures, forex), and the historical bar window is shallower than Polygon's for some assets.

Finnhub — the fundamentals-and-news angle

Finnhub differentiates by going wider rather than deeper. Their core is real-time US equities with WebSocket support, but the value-add is the surrounding metadata: company fundamentals, earnings calendars, IPO dates, ESG scores, insider transactions, and a structured news feed. For a scanner that wants context — "what's the float, when's the next earnings, what's the recent insider activity?" — Finnhub bundles a lot of that into one API.

Pricing tiers in 2026 land roughly at $9.99 (free with rate caps), $59 (Pro), $200+ (Enterprise). The free tier is generous enough for prototyping but the WebSocket connection limits will bite a real-time scanner quickly; assume you need the $59 tier minimum for production.

Strengths: best metadata coverage of the providers in this list, decent fundamentals API, integrated news. Weaknesses: WebSocket reliability is variable in our experience — occasional minute-long blackouts during high-volume opens — and the consolidated-tape coverage is slightly less crisp than Polygon for sub-$1 names.

Tradier — broker-bundled, options-friendly

Tradier is another broker-with-API offering, but their angle is options data. The free "Sandbox" tier gives 15-minute delayed equities and unlimited options chains, which is great for prototyping options strategies. The "Pro" tier ($10/mo) adds real-time equities and options, which is one of the cheapest real-time tiers available — though the data is IEX-only, not SIP.

Tradier's appeal is mostly to retail options traders, not small-cap momentum scanners. If you want consolidated-tape SIP equities, look elsewhere. If you want a unified API that also lets you place trades and you mostly care about options chains, Tradier is hard to beat at $10/mo.

Databento — exchange-direct, usage-priced

Databento is the most interesting of the newer institutional-grade providers, and the one most likely to surprise you on price. Instead of monthly tiers they sell raw and normalised feeds by the byte: a few cents per million records of historical data, with a pay-as-you-go live subscription on top. For workloads that don't sit on a streaming feed 24/7 — backtests, research notebooks, cron-driven scanners — the bill can be a fraction of Polygon Advanced for substantially better data.

What makes Databento technically different is that they sell exchange-direct feeds: NASDAQ TotalView-ITCH, NYSE Integrated, NASDAQ Basic, OPRA for options, plus the consolidated SIP. You pick the feed; you pay for what you read. The Python client is well-designed (DBN binary format, zero-copy parsing into pandas / polars), and their historical archive goes back to 2018 across most US-equity feeds.

Strengths:

Pricing transparency. Every endpoint quotes the cost of a query before you run it. No surprise bills, no opaque tiering.
Exchange-direct feed quality. If you want to study order-book mechanics (MBP-1, MBP-10, MBO) on small caps, Databento is the only retail-accessible source.
Cheap for sporadic workloads. A backtester pulling a few hundred million records of historical 1-minute bars typically costs $20-$100 total — not per month, total.
Modern client library. DBN binary format streams into pandas / DuckDB / Arrow without intermediate JSON parsing.

Weaknesses:

Not retail-shaped. The product assumes you understand exchange data structure. Picking the right feed (TotalView vs Basic vs SIP) is on you, and the learning curve is real.
Live streaming gets expensive at full SIP. If your scanner sits on a 24/5 SIP WebSocket, the metered model can run higher than Polygon's $199 flat fee. Run the math for your specific volume profile.
No options chains in the convenient retail format. OPRA is available but as raw exchange messages, not the pre-aggregated option-chain endpoints Tradier/Polygon offer.

What about IEX Cloud / cheap fallbacks?

IEX Cloud, the long-time cheap starter API, shut down in late 2024. The gap is partly filled by Twelve Data (broad asset coverage, similar pricing, variable quality on sub-$5 small caps), EOD Historical Data (end-of-day only, very cheap, useless for real-time), and Yahoo Finance unofficial scrapers (free, popular, aggressively rate-limited — fine for a single chart, broken for any scanner). For serious work in 2026 we'd skip these in favour of the five providers above; for the cheapest possible "I just want some bars" use case, Twelve Data is the closest spiritual successor.

Comparison matrix

The table below summarises the trade-offs at the price tiers a small-cap scanner is most likely to use. SIP coverage and small-cap fitness are the two columns that actually matter for a momentum workload.

Provider	Real-time tier	Feed	Small-cap fit
Polygon Advanced	$199/mo	Full SIP	Excellent
Alpaca AT+	$99/mo	Full SIP	Excellent
Finnhub Pro	$59/mo	SIP	Good
Tradier Pro	$10/mo	IEX only	Limited
Databento	Pay-per-byte	SIP + exchange-direct	Excellent (research)

Verdict by use case

Building a backtester

Polygon's historical depth (twenty years, all assets) is hard to beat as a flat-fee option. Databento's metered pricing is often dramatically cheaper for the same workload if you can amortise it over a few large pulls instead of streaming. Alpaca's historical is a couple of years shorter on stocks but more than enough for any small-cap workload — these moves don't repeat across decades anyway. Finnhub is fine for the price if you also want fundamentals data in the same API.

Building a live scanner

Alpaca's Algo Trader Plus or Polygon Advanced. For small-cap momentum specifically, both are strong; the choice mostly comes down to whether you want broker integration in the same account (Alpaca) or maximum flexibility across asset classes (Polygon). Skip Tradier and Finnhub for live small-cap scanning — the IEX-only / variable-WebSocket trade-off is not worth the cost savings.

Hobby / one-off project

Alpaca's free paper API + delayed market data is the most generous free tier of the providers in this list. You can prototype a complete strategy on it before paying anyone. When you outgrow it, the upgrade path stays inside the same account.

What we don't tell you

BullAlert is a data tool — we publish curated catch% and peak% per session for small-cap momentum. The market-data layer that powers our internal scoring stays opaque. The reason is straightforward: the combination of feeds, scoring weights, and gating thresholds is the moat. The recipe stays internal; the methodology of catch% and peak% is documented publicly on the methodology page, and every signal we publish is verifiable against the public alert history.

For your stack, pick the provider whose price-per-bit, API ergonomics, and data quality fit your workload. There is no single "best" provider — there is the best provider for the specific thing you are building.

Best Stock Market Data APIs for Small-Cap Traders (2026)