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A big box retailer will not stock the variety of chemicals that a professional pool supply store can provide. You may be able to choose from several different brands at a professional pool supply store. Also, most of the highest quality brands can only be found through authorized dealers and NOT in a mass merchant.
The main reason that you should purchase chemicals from a professional pool store instead of a big box retailer is the knowledge and expertise of the pool professionals. Your swimming pool is a huge investment. You want to be sure that you are purchasing the right chemicals and treatment to prevent problems in the future.
In addition, professional pool retailers offer reputable brands that are proven in the industry to function consistently and efficiently. You can damage your liner or gunite pool or hot tub by using poor quality chemicals, which can cost you much more money in the long run. Not to mention the ill effects some of these can have on your skin, hair, and eyes!