Improve Message for Forbidden External Request

[AlexCatarino]

Expected Behavior

LEAN suggests using the Download method for GET requests.

Actual Behavior

When we use requests method, we receive the following error:

During the algorithm initialization, the following exception has occurred: HTTPSConnectionPool(host='api.factset.com', port=443): Max retries exceeded with url: /.well-known/oauth-authorization-server (Caused by ProxyError('Unable to connect to proxy', OSError('Tunnel connection failed: 403 Forbidden')))

Potential Solution

Parse that error and suggest using the Download.

Reproducing the Problem

from AlgorithmImports import *
import requests

class MyAlgorithm(QCAlgorithm):
    def initialize(self):
        response = requests.get('https://google.com')

System Information

QC Cloud.

Checklist

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• I have confirmed that this issue exists on the current master branch
• I have confirmed that this is not a duplicate issue by searching issues
• I have provided detailed steps to reproduce the issue