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Consuming Live Data Vs On-Prem Gateway

Gogula Aryalingam explains the difference between two Power BI features:

The question: “Why does it say ‘Consume live data sources with full interactivity’ as one feature while the other feature says ‘Access on-premise data using the Data Connectivity Gateways’, while it is obvious that if you need to connect to an on-premise data source to consume live data it has to be through a gateway?”

Okay, this is how I would explain this:

Read on for the explanation.