Export data as CSV in back end with proper HTTP headers

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Do not point the URL to admin.php, use admin-post.php instead:

'<a href="' . admin_url( 'admin-post.php?action=print.csv' ) . '">'

In your plugin register a callback for that action:

add_action( 'admin_post_print.csv', 'print_csv' );

function print_csv()
{
    if ( ! current_user_can( 'manage_options' ) )
        return;

    header('Content-Type: application/csv');
    header('Content-Disposition: attachment; filename=example.csv');
    header('Pragma: no-cache');

    // output the CSV data
}

If you want to make the data available for anonymous users (not logged in), then register the callback again with:

add_action( 'admin_post_nopriv_print.csv', 'print_csv' );

… and remove the capability check from the function.

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