Hi,
If you don't want to use the data feed downloader of the website, but rather use the API and download data in a program (strategy), the following forum topic might be at your interest:
viewtopic.php?f=77&t=49764&p=73674&hilit=excel#p73674These guys achieved more-or-less the same what you are up to: download historical data feed (and placed in in Excel but that might not be interesting for you).
Take a look, source codes are also available...
The get the data by directly links is not an elegant idea. Links can change, permissions can change also, etc... You have better chances by using the
IHistory interface of the API (which I guess was used in the linked example).
Good luck!