Add the oil to a heavy skillet (ie. cast iron) over high heat. When it is scorching hot, add the okra. Do not stir until you see edges charring. You want some nice color. Stir only enough to turn the okra. When you have a good amount of charring, and the okra has lost its "slime," remove them from the hot pan. This process takes about 3 minutes.
Add the tomatoes to the hot skillet, adding more oil if necessary. Cook the tomatoes until they begin to char and burst. Remove from the pan
Add the sliced sweet onion, cooking on high heat until the onions soften, and get some color on the edges. Remove from the pan.
Add the shrimp to the pan, stirring occasionally until the shrimp are opaque but not dry. This only takes 2-3 minutes. Dried out shrimp isn't good! Remove from the pan.
De-glaze the pan with white wine, stirring to loosen any browned bits. Add the broth/stock, lemon juice and zest, thyme sprigs, and spices. Bring to a boil, then simmer about 5 minutes to reduce slightly.
Add the shrimp and veggies back into the pan. Stir to combine. Turn off the heat.
Remove the thyme sprigs. Garnish with chopped fresh parsley and gumbo file. Enjoy!