First, ensure you have an AWS account. Set up an S3 bucket where the data will be stored and configure AWS IAM roles with the necessary permissions for accessing S3 and running AWS Glue jobs. Make sure the IAM role has permissions like `AmazonS3FullAccess` and `AWSGlueServiceRole`.

Sign up for a CoinMarketCap account and subscribe to an API plan that fits your needs. Once done, obtain your API key from the CoinMarketCap dashboard. This API key will be required to authenticate requests to the CoinMarketCap API to fetch cryptocurrency data.

Write a Python script to fetch data from the CoinMarketCap API. Use the `requests` library to make API calls. The script should handle authentication using your API key, construct the request to fetch the desired cryptocurrency data, and handle responses, including error checking.

```python
import requests

def fetch_data(api_key):
url = "https://pro-api.coinmarketcap.com/v1/cryptocurrency/listings/latest"
headers = {
'Accepts': 'application/json',
'X-CMC_PRO_API_KEY': api_key,
}
response = requests.get(url, headers=headers)
if response.status_code == 200:
return response.json()
else:
raise Exception(f"Failed to fetch data: {response.status_code}")

data = fetch_data('your_api_key_here')
```

Once the data is fetched, transform it into a format suitable for storage in S3, such as CSV or JSON. Use Python libraries like `pandas` for data manipulation. For instance, convert the JSON response into a Pandas DataFrame and then save it as a CSV file.

```python
import pandas as pd

def transform_data(json_data):
df = pd.json_normalize(json_data['data'])
df.to_csv('/tmp/cryptocurrency_data.csv', index=False)

transform_data(data)
```

Utilize `boto3`, the AWS SDK for Python, to upload the transformed data file to your specified S3 bucket. Ensure the IAM role used has the necessary permissions to perform this operation.

```python
import boto3

def upload_to_s3(file_name, bucket, object_name=None):
s3_client = boto3.client('s3')
try:
s3_client.upload_file(file_name, bucket, object_name or file_name)
print(f"File uploaded to S3: {bucket}/{object_name or file_name}")
except Exception as e:
print(f"Error uploading to S3: {e}")

upload_to_s3('/tmp/cryptocurrency_data.csv', 'your-s3-bucket-name', 'crypto/cryptocurrency_data.csv')
```

In the AWS Glue console, create a new Glue job. Configure it to use a Python shell script that you have written for data extraction, transformation, and loading. Set up the job with the appropriate IAM role and specify any necessary configurations, such as memory and timeout settings.

Use AWS Glue’s scheduling capabilities to automate the execution of your job at desired intervals (e.g., daily). Monitor the job execution through the AWS Glue console to ensure it runs successfully and troubleshoot any errors that arise. Use CloudWatch for logging and alerts to maintain oversight of your data pipeline.

By following these steps, you can effectively move data from CoinMarketCap to S3 using AWS Glue without relying on third-party connectors or integrations.