Step 1:
Login to your Bitfinex account.
Step 2:
Navigate to the reports page.
Step 3:
Click on the Trades link.
Step 4:
Select the full date range of your trading and all pairs.
Step 5:
Select Export button and select the following options in order to download your CSV file.
It is very important you select the MM-DD-YY format and enable DISPLAY MILLISECONDS.
Not selecting these will lead to warning trades.
Step 6:
Navigate to the Bitfinex tab on the Import Trades step and upload your CSV file.