data.py

data = [
"44013001",
"44042099",
"44071001",
"44071002",
"44072101",
"44072102",
"44072199",
"44072201",
"44072299",
"44072401",
"44072499",
"44072901",
"44072903",
"44072999",
"44079101",
"44079901",
"44079902",
"44079904",
"44079999",
"44081001",
"44083999",
"44089099",
"44092001",
"44092099",
"44092199",
"44092999",
"44102999",
"44109099",
"44121301",
"44121399",
"44121499",
"44121901",
"44121999",
"44122201",
"44122399",
"44122999",
"44123101",
"44123199",
"44123201",
"44123299",
"44123999",
"44129201",
"44129401",
"44129499",
"44129901",
"44129999",
"44140001",
"44160002",
"44160003",
"44160005",
"44170099",
"44181001",
"44182001",
"44186001",
"44187101",
"44187999",
"44189099",
"44190001",
"44201001",
"44209099",
"44219002",
"44219004",
"44219099"
]

scrap.py

import requests
import data
import re

def get_filename_from_cd(cd):
    """
    Get filename from content-disposition
    """
    if not cd:
        return None
    fname = re.findall('filename=(.+)', cd)
    if len(fname) == 0:
        return None
    return fname[0]

for i in data.data:
    a = range(2003, 2019)
    for o in a:
        url = "http://www.economia-snci.gob.mx/siavi4/frac_mensual.php?fraccion=mensual," + str(o) + "," + i + "&p=excel"
        r = requests.get(url)

        filename = get_filename_from_cd(r.headers.get('content-disposition'))
        open(filename, 'wb').write(r.content)