You need a connector to work with data in Power Query for Power BI or Excel. But what is a connector? Adam explains what these are and how to find out what’s available.
Power Query Connectors:
https://docs.microsoft.com/power-query/connectors/
Power BI data sources:
https://docs.microsoft.com/power-bi/connect-data/power-bi-data-sources
Import vs DirectQuery vs Live video:
https://www.youtube.com/watch?v=-ip7mKUdwRg
Power Query Custom Connectors:
https://docs.microsoft.com/power-query/startingtodevelopcustomconnectors
CDATA Custom Connectors (Paid items):
https://www.cdata.com/