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10000+ files asynchronously from Sharepoint online
Then why don't you use the SharePoint SDKs for this? They will take care of how to order the download jobs, download and provide you with the 10,000+ files on your machine.
Welcome to the Microsoft SharePoint 2010 SDK | Microsoft Docs[
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But there are some limitations on the framework, it has to be coded using.NET 4.0 framework only. Hence cant use TPL library.
But you can use TPL in .NET framework 4.0. Don't take my word for this,
Starting with the .NET Framework 4, the TPL is the preferred way to write multithreaded and parallel code.
So basically, you can do both the things without any problem—read OriginalGriff's answer on what limitations you will be hitting in your own machine as well as on Microsoft's servers. A good way to achieve this requirement would be to first zip the folder (or the files, wherever they are placed) and then download that single zip file.
Remember, with asynchronous approach you are not improving the performance or download time rather (at the scale of 10,000+ tasks) you are degrading the performance at a big scale. Each task would require internet, as well as memory and CPU resources, and this might cause starvation in your tasks... Many bad things will happen, so to say.