The fact that the database team is not comfortable with you making 500 calls to their DB to pull 1000 records at a time is a bit silly. Did they back up their concerns with data? If their system can’t handle it, they should fix it so that it can or provide a better solution themselves, which leads me to the next point.
Since the database team is worried, I think MR as173d’s suggestion is perfect: push it back to them and tell them to create a stored procedure that simply dumps the file that you need. You then just have to worry about transferring it.
This solution should solve their problem and also make your life easier. Win win. 
Percio
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