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You could use the Essbase Java API which would be my preference, a few alternative ways is you can run Calc Scripts, Report Scripts, MDX which could be called from MaxL or there is web services.
there are any good examples for Essbase Java API ? I just wanna compare one data cell from FDMEE to Essbase without any data exports to file.. but i never worked with Essbase JAPI. Is it possible ?
Yes you can retrieve data without exporting with the API, the samples would usually be in <MIDDLEWARE_HOME>\EPMSystem11R1\common\EssbaseJavaAPI\126.96.36.199\samples\japi