The API refence docs are here:
That should give you a good sense for how data (and what data) can be transferred via the API.
The API will return data in JSON format. If you need SQL you'll need to handle that format change within your app. As for full steps - that's not something the forum members would help with. With some research and your existing developer knowledge you'll quickly get yourself up to speed. If you're stuck with something specific (rather than a broad question), the forum members may be able to help with that.
The getting started page makes for good starting read:
If you need an existing library to help speed up your development with the API than the links on this page may be of interest: https://help.shopify.com/api/guides/supported-libraries