The best way to transfer data from an older Mac to a brand new one is to use Time Machine and the Migration Assistant. Transferring data wirelessly will not only take forever and as you found out not all your data gets moved.
You don't need a cable. Just make a full Time Machine backup of your old Mac to an external hard drive and then attach that drive to your new Mac. Run the Migration Assistant but be careful because it will create another account which can be confusing. The best way to do the above is before you create an account on the new Mac and when you turn it on for the first time.