I have a little budgeting side project that I am making into a product. Currently, I export my bank data via CSV and then import it into my tool. Tedious, but it works. I discovered two companies that own the financial institution aggregation space, Yodlee and Intuit.
Yodlee seems to own majority of the space but the documentation and examples were difficult. I'm hopeful this will change soon. After all, they are significantly cheaper once your application goes to production and they have an accelerator for startups. Very sweet!
On the other hand we have Intuit, the 800-lb gorilla. You probably know about Quickbooks, Turbo Tax, and Mint right? Yeah that's them, and they released a full REST api service to boot. They have nice documentation for developers and seem to be established with 18000+ institutions you can get data from.
$ pip install python-aggcat
Then, read the python-aggcat docs. Now you can get all of your financial data via a pythonic API client. Enjoy! :)