Add support for HTTP proxies in historical client.

[iroddis]

Feature Request

Many corporate environments use internal proxies to mediate access to the internet. cpp-libhttp supports this already. Please add support for using a proxy with optional authentication for the Historical client.

I've created a branch from my fork that adds a SetProxyFromEnv() as well as individual proxy config calls to the HistoricalBuilder class, if that's helpful. It only consults HTTPS_PROXY out of an abundance of caution (HTTP_* environment variables are considered unsafe).

[threecgreen]

Hi iroddis,

Thanks for the feature request and the reference fork.

Rather than parse proxy environment variables inside the client, I'd prefer to keep that policy in the caller.
Would a SetHttpClientConfig setter on the Historical builder meet your needs? This would allow configuring the httplib::Client directly, while also allowing changing other HTTP settings. Something like

auto client = databento::Historical::Builder()
    .SetKeyFromEnv()
    .SetHttpClientConfig([](httplib::Client& c) {
      c.set_proxy("proxy.corp", 8080);
      c.set_proxy_basic_auth("user", "pass");
    })
    .Build();

This is similar to the http_client_builder option in the Rust client builder and keeps proxy configuration explicit. Let me know if that works for your use case.

[threecgreen]

I've added SetHttpClientConfig in version 0.62.0