It's often called "Quicken Direct Connect" (NOT "web connect", that's a bastardization trying to push the login flow through the proprietary web interface), and often has to be specifically enabled for your account (Bank of Slum-merica is the only place I've heard charging for the functionality though).
Check say https://ofx-prod-filist.intuit.com/qb2600/data/fidir.txt to see if your bank is listed (that contains both direct and web connect banks, you'll figure out what the flags mean).
Setup a cron or human cron to pull and save the raw OFX (QFX) query every day/week/month, and then run whatever reports/analytics you want from that. This way you'll have history to use with whatever program/scripts you move to, and can also straightforwardly integrate legacy banks that make you use the web interface (just at a much lower polling rate).