EMA C++ Developers Guide : 4 Consumer Classes : 4.3 OmmConsumerConfig Class : 4.3.4 HTTP Proxy Connections
 
4.3.4 HTTP Proxy Connections
The Enterprise Message API supports HTTP proxy tunneling for ChannelType::RSSL_SOCKET, ChannelType::RSSL_HTTP, and all ChannelType::RSSL_ENCRYPTED connection types.
On Windows, WinINet provides legacy HTTP connection type functionality, and you must configure the proxy through the Internet Explorer configuration. You can override WinINet's proxy configuration by using tunnelingProxyHostName() and tunnellingProxyPort().
For RSSL_SOCKET connection types (standard or encrypted), libcurl manages the proxy connection. As with OpenSSL, you can specify a particular libcurl library using libcurlName. By default:
On Linux, the Enterprise Message API loads libcurl.so
On Windows, the Enterprise Message API loads libcurl.dll
For libcurl connections, you can provide additional proxy authentication credentials with the following functions:
proxyUserName(): set the proxy user name.
proxyPasswd(): set the password for proxy authentication.
proxyDomain(): set the domain for proxy authentication.