Agnes,

I found a solution. Instead of using SET RELATION I swiched to SET FILTER. The code in data orginizing part became even shorter:

SET FILTER TO Days.MonthId=Months.Id IN Days
SET FILTER TO Months.YearID=Years.Id IN Months
GO TOP IN Years
GO TOP IN Months
GO TOP IN Days

But grids got additional code in AfterRowColChange event:
For Grid1 which displays Years cursor:

IF Months.YearID<>Years.ID
	GO TOP IN Months
	thisform.Grid2.Refresh
ENDIF
IF Days.MonthID<>Months.ID
	GO TOP IN Days
	thisform.Grid3.Refresh
ENDIF

For Grid2 which dispalays Months cursor:

IF Days.MonthID<>Months.ID
	GO TOP IN Days
	thisform.Grid3.Refresh
ENDIF

This also made me free in using any SET ORDER I want. But complicated a use of additional filters which is not a big problem due to FILTER() function existence.
Anyway it's pity that prompt visual development in Data Environment Builder does not bring me to a result I expect.

Thank you

Evgeny