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In general it is organised, as a huge tree, with the indentation below, showing different levels down that tree:

• type of data (analysis, forecast, etc)
  • year
    
    • month
      • type of level (model level, pressure level, surface etc) 
        • dates, times, steps, levels, parameters (same tape file)
          

The idea is to request as much data as possible from the same tape file . The natural way to group requests would be:
all parameters, all levels, all time-steps for all dates of a month

Note: 'all' means 'all' that the user wants. It doesn't have to be all parameters.

• The objective of this example is to demonstrate how to iterate efficiently over some years, for a particular ERA interim, daily, pressure level request.
• At this point you may wish to have a look on the  UERRA SHMI availability
• The request below can be used as a starting point, however you need to keep in mind that you have to adapt it to your needseg to set the keyword, values according to your requirements (eg add or remove 'param', 'levtype', 'step' etc).
• In this way you can extend this example to download a longer period or even the whole ERA interim dataset.

You can use the variable 'target' to organise the requested data in separate files if you wish.

#!/usr/bin/env python
import calendar
from ecmwfapi import ECMWFDataServer
server = ECMWFDataServer()

def retrieve_uerra_eswi():
    """      
       A function to demonstrate how to iterate efficiently over several years and months etc    
       for a particular UERRA request for origin SHMI.     
       Change the variables below to adapt the iteration to your needs.
       You can use the variable 'target' to organise the requested data in files as you wish.
       In the example below the data are organised in files per month. (eg "uerra_eswi_daily_201510.grb")
    """
    yearStart = 2008
    yearEnd = 2009
    monthStart = 1
    monthEnd = 12
    for year in list(range(yearStart, yearEnd + 1)):
        for month in list(range(monthStart, monthEnd + 1)):
            startDate = '%04d%02d%02d' % (year, month, 1)
            numberOfDays = calendar.monthrange(year, month)[1]
            lastDate = '%04d%02d%02d' % (year, month, numberOfDays)
            target = "uerra_eswi_daily_%04d%02d.grb" % (year, month)
            requestDates = (startDate + "/TO/" + lastDate)
            uerra_eswi_request(requestDates, target)

def uerra_eswi_request(requestDates, target):
    """      
        A UERRA request for origin SHMI, for analysis pressure level data.
        Change the keywords below to adapt it to your needs.
        (eg to add or to remove  levels, parameters, times etc)
        Request cost per day is XXXX fields, XXXX Mbytes
    """
    server.retrieve({
        "class": "ur",
        "stream": "oper",
        "type": "an",
        "dataset": "uerra",
        "origin" : "eswi",
        "date": requestDates,
        "expver": "prod",
        "levtype": "pl",
        "levelist": "1000",
        "param": "130.128",
        "target": target,
        "time": "00/06/12/18",
        "grid": "0.75/0.75"
    })

if __name__ == '__main__':
    retrieve_uerra_eswi()