I also experimented in the powershell
cd c:\Python
PS C:\Python> powershell "C:\Python\data.py"
This works....
PS C:\Python> cd..
PS C:\> powershell "C:\Python\data.py"
Traceback (most recent call last):
File "C:\Python\data.py", line 3, in <module>
urllib.request.urlretrieve(url, "intraday.csv")
File "C:\Python34\lib\urllib\request.py", line 196, in urlretrieve
tfp = open(filename, 'wb')
PermissionError: [Errno 13] Permission denied: 'intraday.csv'
PS C:\>
This doesn't
On that, I tried this in the agent step
CD C:\Python
Powershell "C:\Python\data.py"
It says it completed successfully, but didn't run my py script.