It's called a ODB connector, or ODBC (On-board diagnostics connector). You can buy a reader for under $100 (amazon, etc). Or you can buy a Garmin EcoRoute HD module, which is also around $100 (this is what I use).
If you buy the Garmin device, it consists of a diagnostic cable that connects to the vehicle's ODBC, and a bluetooth transmitter. It will connect to many (but not all) Garmin GPS nav systems that will not only give you diagnostics data, but real-time engine operating parameters (RPM, oil pressure, etc).
And perhaps the best part... it also transmits fuel flow data (as do most of the other diagnostic readers I think).
However, the beauty of connecting it to a Garmin GPS (I connect mine to a Garmin RV760LMT - in vehicle mode), the GPS data can give you real time and accumulated MPG.
And if you don't have a compatible Garmin GPS you can download a Garmin Mechanic app free that works on Android devices to read the bluetooth data from the Garmin EcoRoute HD. For some reason though, iPhones or iPads won't work.
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