They should ship parquet, supports predicate pushdown and is dramatically more compact, while you can't get row level data, it's great for analytical queries.
"Why parquet files are my preferred API for bulk open data" https://www.robinlinacre.com/parquet_api/
Just add ".parquet" - eg https://csvbase.com/meripaterson/stock-exchanges.parquet
For sorted data you only need the relevant row groups which can be tunable to sensible sizes for your data and access pattern.