Do any private players also collect and measure data like CPI ?

It's hard to believe that the whole market waits for CPI data from government agencies.

How come private market players don't do this already ? Why do we have to –

[a] rely on government agencies for CPI insights

[b] wait and not have real time data on this ?

Or it is very likely that all of that is there but naive like me don't know about it yet. But if it is there, why there is so much turbulence in the market around the CPI date ?

What's the mystery? Can someone with knowledge eli5 please!