Tunneling through a proxy

My Intranet users are accessing the Internet through a proxy on the network. I need to monitor and filter certain requests to that proxy on a few machines. In essence, I need to proxy the proxy on the local machine.

How do I insert 开发者_运维知识库a local application as a relay between the local system and the Intranet proxy?

I would have to change the local proxy settings to an endpoint on the local machine, which in turn should relay HTTP requests to the outside proxy. But, I have no experience with writing proxies. Is this even possible?

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Edit: The term I was looking for is tunneling, not proxying through a proxy. It is possible and I managed it with a TCP pipe.

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Why not use an existing proxy server? This has all required capabilities and you don't have to worry about stability and performance.

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I wrote a custom TCP tunnel that forwards requests to the Intranet proxy and pointed the browser proxy to the local machine.