Credentials not recognised

I'm trying to connect to an API via a Blank Query. I'm currently having trouble with credentials not being authenticated. On top of that, when I try to connect with this header:
[Headers=[#"Ocp-Apim-Subscription-Key"="[API_KEY"]])

The code I'm putting into the Advanced Editor is as follows with the CompanyID and API key edited out: 

let
     Source = Web.Contents("https://www.haloapi.com/stats/h5/companies/{CompanyID}/commendations", [Headers=[#"Ocp-Apim-Subscription-Key"="MY_API_KEY"]])
in
    Source

I'm told that the only reason to have the header is if I'm connecting anonymously, but when I try connecting anonymously by removing the header I get a credential authentication error. Is there something I'm doing wrong or should be doing?