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I'm setting up an external nginx server to proxy all outgoing traffic in order to simplify outbound firewall rules.

What I'd like is:

(There will be 30-40 different hosts here, so I'm looking for something relatively easy to maintain.)

Is this possible with Nginx? Or is there some other proxy software that is better suited for this problem?

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nginx makes a great reverse proxy, but is less than ideal as a forward proxy. It can be done, but since writing the rules you want will be rather hairy, you're almost certainly better off to use a purpose-built forward proxy, such as squid. Doing so also means your future self will have a much better chance of understanding what's going on when trying to maintain or debug the proxy.

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