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Since etherscan indexes all addresses that have been involved in any transaction i was wondering if such a data set is available for download anywhere?

I cant find anything on etherscans website and google hasnt turned up much.

If there is no data set available i think my only other option would be to spin up a node and trawl through each block.

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You can sign up and retrieve the data for Ethereum Cumulative Unique Addresses here - otherwise yeah, use a blockchain scaling platform like Alchemy or Infura, spin up a node and get trawlin'

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There's a dataset in Google itself (BigQuery): https://console.cloud.google.com/marketplace/details/ethereum/crypto-ethereum-blockchain

Currently, https://github.com/blockchain-etl/ethereum-etl is still active.

Documentation is at http://ethereum-etl.readthedocs.io

A 2018 article by its creator: https://evgemedvedev.medium.com/ethereum-blockchain-on-google-bigquery-283fb300f579

Other project contacts in case the Github disappears:

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