1.) Where would you do day/swing trading? A regular exchange likely has too high of fees. IE: Coinbase.
Use binance. Super low fees (0.075% if you use BNB to reduce it), the best liquidity (means the lowest spreads, and low probability of flash crashes).
Both of these offer the ability to download files in CSV
Binance allow that too. In fact i havent seen crypto exchange that don't have it. You should also check how tax from crypto is calculated in your country. In my, they don't care about crypto/crypto trades. They tax me only on crypto/fiat trades so I trade with USDT or BUSD trading pairs and sell to USD only when I want to cash out profits.