For performance reasons, having a local database is much better when you are testing against a massive universe. This needs software to update it - so not "ghetto" at all. To put it into perspective, there are over 10000 securities that were are are still in the Russell 3000 back to 1990. Downloading 10K securities' histories "on demand" each time you want to try a new backtest is very inefficient. On a SSD system I can backtest daily data for that sort of history length at about 800 securities per second (quicker if it is cached in RAM). Intraday scales at about the same rate (15 min data is 26 times more data etc, 1 min data is 390 times more data etc.). I agree on multiple forms of access though - a local web "on demand" http server would be ideal if it can handle that level of performance. Still waiting on vendors to implement!
They are aware of the issues with the old downloader and have rebuilt from the ground up using standard non proprietary components but you have subscribe to MS 15 to use the new version - otherwise it is the proprietary Datalink downloader. Don't know for sure if there are plans to release the upgraded version as a standalone
I doubt anyone downloads equities data just for the current backtest. What I was saying is that it's better to use insert your favorite language here to get the data and run the backtest separately, instead of relying on some piece of software to download the data.
As far as my experience has gone all low budget data sites are worst than yahoo data, IMO anyway. Yahoo, if you ask has the most comprehensive listings, is decent with adjusting data for dividends/splits and has a decent speed. Useless your trading account can provide data for you yahoo is the best. That is in my opinion.
De Depends what you mean by problems? IMO there isn't any serious problems with yahoo. Yes the API is gone but there are still methods to get data from yahoo mentioned in this thread. I guess it depends on what you want and wether you want to pay for data.