Just to put this out there, if you code your own custom software then you dont really need to stick with any standard protocol for a proxy server. Essentially as long as you can get down the listening and accepting, along with a custom handshake, you have a proxy. The advantage being, essentially, with your own closed protocol noone else is going to be able to scan and use the IPs you've worked hard to cultivate. The other advantage being no need to stick to strict specifications or be knee deep in RFC documentation. Anywho, just a thought. I like to nerd out, you know.
Oh, also you can custom encrypt the requests you're sending, so that what goes out over your network is simply, well, gobbledeegook (awesome word). Then just have your proxy server decrypt and handle the request.