Do I handle the proxy connection myself using wolfSSL or are there function(s) that do the CONNECT request for you? If not, should I first, connect to the proxy then second, make the CONNECT request then third, connect using SSL?
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As a tentative answer to the question without knowing more about which proxy is being used or the use-case...
Do the latter IE establish the proxy connection using the proxy API then issue the TLS connection to a server running on the other side of the proxy. An example of this is detailed in the README here: https://github.com/wolfSSL/udp-proxy
Now if there is a desire to use wolfSSL to secure the proxy connection as opposed to issuing the TLS connection THROUGH the proxy connection that is a different use-case. You can send more info to [email protected] if you need direct pre-sales support, the wolfSSL team is responsive and helpful.