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No, the download is on a "per sheet" basis, but why you do want to download into Excel ?
Thanks for the response Chris.
I have 3 sheets with various metrics for various hours across all days and the user wants to see all this data in a single dashboard, all at a time(not in tabs).
The user usually downloads the sheet as an excel sheet(cross Tab) and he wants all the data together in a single excel sheet.
Kary -- I have to do this for some users. Tableau isn't designed to be an excel generator, but you can force things to happen.
I create a crosstab sheet that contains all the stuff the user wants. (You can even have it use the filters and parameters from the user dashboard.)
Publish that one sheet to Server. When you display it in Server, you can see the server-generated URL for that published sheet. Save that URL.
Then on the user dashboard, create a little sheet that looks like a button. The user can click that sheet and it can do a hyperlink action to the published sheet. If you tack ".CSV" to the end of the URL, Tableau Server and Microsoft Office work together to create that sheet as a CSV file.
There are several threads on this forum that do in-depth discussions of this method.
The cool think about this technique is that you don't get all your interim calcs and other stuff from the sheet that tableau shoves into the auto-generated csv that gets created by out-of-the-box tableau download functionality.
I just did google for "Tableau export hyperlink CSV" and there are a ton of hits -- and many of them point to discussion threads in this forum.