Web Socket Client Proxy support

[wtflanders]

Add or modify web socket client class to take a proxy setting like the curl_httpclient class does.
This is a roadblock for connecting to a Websocket server, behind a corporate proxy, from a Tornado client python app.

[albertogferrario]

Were there any follow-ups?

[bdarnell]

No one has looked into this yet as far as I know. It depends on supporting HTTP proxies in simple_httpclient, which there's not even an open issue for. I don't personally have any plans to implement proxy support so this would probably have to come from community contributions. (and it's complicated enough that anyone who wants to try should probably talk to me first).