Okay. Here are my 2 cents. And yes, I do this for a living... Solid wood is okay, and as mentioned above, Poplar is relatively inexpensive. It can be painted, or stained. Just make sure it is sealed in/out to minimize any movement due to moisture.
If you want to use plywood, and paint the canopy, there is a material called MDO. It is an exterior grade plywood with a paper face. Excellent for painting. Sign makers use it all the time. It should be available at any lumber yard. Home Depot doesn't carry it.