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I've got a linode(it's in Tokyo), it's usually faster to download files to the linode and then copy it to my computer via ssh than I download the files directly, this is what I used to do:

ssh linode
scp linode:~/ ./

Now I'm wondering is it possible to start transfer part of the file to my computer while linode is still downloading the rest?

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You might try ssh linode "wget -c -O -" >> ./ – Jodie C Apr 22 '12 at 1:41

I've never actually completely implemented a Squid server before, but I came close near April 1st when I tried to implement the famous Upside Down Ternet for April Fools (stopped because I got really sick and ran out of time).

If it were me, I would look into doing something very similar: install Squid onto the server, route your internet through that server (or at least for particular URLs) and then use a script to download the file(s) onto the server automatically when you request them from your computer, and push them through the server and down to you (the client).

That's a bunch of theory that I unfortunately can't backup with lots of experience. But good luck!

Here's a couple resources on Squid to get you started:

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You could proxy your HTTP requests from your local machine to your remote linode server by means of an SSH tunnel. It's pretty easy to do and these links should get you started.

The tutorials mention using Firefox, but you can use any SOCKS aware application.

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