Until recently, combining market data, research, internal systems and analytics required fixed, deterministic workflows. A well-orchestrated governance layer is required for any functional AI product built on market data. In practice, users who plug together MCPs from different financial market data providers are quickly disappointed. A product built on machine-ready data from a consolidated data warehouse will always outperform one built on messy data across a patchwork of different data vendors. The challenges with market data are far deeper than connecting to an MCP server.