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Following the previous paragraph,  the natural way to group requests would be:
all parameters, all levels, all members, all time-steps for 1 hindcast date.

Note the following:

1. 'all' means 'all' that the user wants. It doesn't have to be all parameters.
2. If a user is interested only on z500,  he may request more hindcast dates in one go, since the overall request will not be so big.

for hindcastDate in hindcastDate-list hindcastDateList (eg, 2010-03-01 to 2010-03-31)
     S2S-request(hindcastDate)

You may wish to have a look on some CMA re-forecast examples or to visit the ECMWF Web API Home

The best approach is to iterate over the HindcastYearshindcastYears. For each HindcastYear hindcastYear iterate over all the available hindcastMonths and for each hindcastMonth iterate over all the available hindcastDays.

At this point you may wish to check CMA availability and to view a CMA request

for HindcastYearhindcastYear in HindcastYearshindcastYears
    for hindcastMonth in hindcastMonths        
        for hindcastDay in hindcastDays             
            hindcastDate = HindcastYear-hindcastMonth-hindcastDay               
                S2S-request(hindcastDate)

#!/usr/bin/env python
from ecmwfapi import ECMWFDataServer
modelVersionDate = "2014-05-01"
hindcastDate = "2014-04-01"  # The selected hindcast date
server = ECMWFDataServer()
server.retrieve({
    "class": "s2",
    "dataset": "s2s",
    "date": ModelVersionDatemodelVersionDate,
    "expver": "prod",
    "hdate": hindcastDate, 
    "levtype": "sfc",
    "origin": "babj",
    "param": "165",
    "step": "0",
    "stream": "enfh",
    "target": "data.cf.sfc",
    "time": "00",
    "type": "cf",
})

• The objective of this example is to demonstrate how to make a MARS request efficient by iterating properly. 
• It can be used as a starting point however you need to adapt it to your needseg : to set the keyword values (eg hindcastYear)  according to your needs. don't forget , to check CMA availability

 By setting  Please note: use the variable "target" accordingly you can have   to write each hindcastDate to be written on a separate file .