Hi Guillaume,
As you mentioned, REST API is best suited for small-medium data set. We use odbc for Big Data Insight push, for advanced reporting that is capable of handling large volume of data.
With both CSV and ODBC, you just have to configure a database once and then you can keep adding new data source (Record) to the same DB.
If my reply answered your question please click on the 'Accept as Solution' button to help others find the answer.
Thanks,
Shoaib