@dirk,

The API does not deliver a capability to make a single request that results in a set of smaller files.

If you need years of data, we do not recommend making hundreds of requests for a single day each. The overhead takes time, making it much longer for you to get all the data, and it also places additional load on our servers. Se our best practices.

One could be tempted to split the data during the retrieval time, by decompressing it on the fly and saving it to separate files (say 1 per year). But decompressing the data stream on the fly is not recommended either, see this advisory.

If it is too tedious to manage the whole set of data in one file, my recommendation would be to make a set of medium sized queries (maybe one query for one year of data), to have file sizes that are more easily manageable, without lengthening the extraction time too much. If you need a file for each trading day, you will have to process the medium sized files to make the smaller ones.

In the end it is a trade-off between extraction speed and file size.

Thank you