We develop the notions of multiplicative Lie conformal and Poisson vertex algebras, local and non-local, and their connections to the theory of integrable differential-difference Hamiltonian equations. We establish relations of these notions to $q$-deformed $W$-algebras and lattice Poisson algebras. We introduce the notion of Adler type pseudodifference operators and apply them to integrability of differential-difference Hamiltonian equations.