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Per http://docs.python.org/2/library/urllib2.html , urllib2 respects the http_proxy and HTTP_PROXY environment variables. Therefore, for people whose computers have those variables set, they typically want the Internet access to go via the proxy server, instead of directly to the Internet.
The get_data_fred function is defined in pandas/io/data.py
If you want to test this functionality, feel very free to ping me on the thread, and I will set you up with a proxy you can use to test this.
As far as I gather, adding an automated test for this would be fairly difficult, and unlikely to test exactly the right thing., so I believe it would not be required for this particular issue.
could you switch to calling urllib2.open (instead of urllib.open) in this function, so that it works seamlessly with http proxies?
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