I just bought a new MacBook Pro. I want to migrate my current environment on my old MacBook Pro to my new MacBook Pro.

Depends on your old one. I think newer ones can do it with USB-C. However, I think most these days use a Time Machine backup, where one can restore the environment and data on the new machine using Setup Assistant. You have a single chance to use it after a factory install of the operating system, although you can always reset to factory settings.

Set up your MacBook Pro - Apple Support

Transfer your data to your new MacBook Pro - Apple Support

DanMooney wrote:

What connector do I need for both the old and new MacBook pros?

Perhaps none...I have successfully used Wi-Fi for two migrations. Please refer to Transfer to a new Mac with Migration Assistant which explains "The steps in this article describe how to transfer content from one Mac to another Mac over Wi-Fi. It's also possible to transfer content from a Time Machine backup, or from a Windows PC, or from an iPhone."