How to get the cells of a sudoku grid with OpenCV?

I’ve been trying for the last few days to get a sudoku grid from a picture, and I have been struggling on getting the smaller squares of the grid.
I am working on the picture below. I thought processing the image with a canny filter would work fine, but it didn’t and I couldn’t get every contour of each square. I then put adaptive threshold, otsu, and a classic thresholding to the test, but every time, it just could not seem to capture every small square.

python save image from url

I got a problem when I am using python to save an image from url either by urllib2 request or urllib.urlretrieve. That is the url of the image is valid. I could download it manually using the explorer. However, when I use python to download the image, the file cannot be opened. I use Mac OS preview to view the image. Thank you!