If you're based in the US, I would recommend ofxtools [1]. Anytime an institution supports "Download in Quicken", they have an OFX endpoint that you can find via ofxhome.
Unfortunately, it's far from true that all institutions supporting Quicken downloads can be found via ofxhome. That list was originally sourced from parsing MS Money API, and has been only sporadically updated in a manual case-by-case fashion. Also ofxhome is set to go away pretty soon.
But we do what we can
Unfortunately, only one of my banks provides OFX access at all (for a monthly fee), and I learned I’m not disciplined enough to keep up with the other banks manually.
Its annoying because I’m pretty sure the other banks do have OFX services somewhere, they just dont provide it to all customers, plus paying a monthly fee for the one bank that does just feels exploitative.
A less reliable, but more accessible solution might be to parse emailed bank statements, but those only go out once a month, whereas OFX can show new transactions within minutes/seconds.