Add support for connecting to websocket through proxy

[TobiasMadsen]

This pull request exposes three new parameters to the websocket constructor:

• proxy_url
• proxy_username
• proxy_password

An alternative approach would be to check and respect the settings given by thehttp_proxy, https_proxy environment variables. However, some proxies do not support websockets, so this might leave some users in a bad state, where they have to change these environment variables back and forth when connecting to the websocket.

[CLAassistant]

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[TobiasMadsen]

Hi, I have sent the contributor agreement by mail. Best, Tobias

[Syntopia]

This would be great to have fixed (including Skjernaa's fix above). Any progress here?