I like to use cron jobs (a script that runs automatically), to import data feeds (xml or csv) into my database. This way all the data is stored on your server, and is available for fast access at the point a visitor requests the information. The downside of this method is that the data can potentially be slightly out of date. E.g. your cron job runs at 3am, and the merchant updates their data feed at 9am when the techie gets to work.
An alternative is to use an API (if the merchants you are working with have one available). The drawback to these are that the delivery of data to your site can sometimes be slowed by the other server, or by general network traffic.
Overall the easiest method is to import the data feeds nightly. Unfortunately the quality of data from some merchants is not that great, so you may need to supplement it in other ways.