I am wondering whether I am able to setup a proxy only for outgoing connection but not for incoming connections
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or this one:
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This MIGHT be possible but you'll have to design build and implement it and then get others to use it.
By using any of your proposed set-ups you'll end up receiving the data directly
How connections work:
Even if you get tcp to use a return address you'll completely brick the sessions because your router, pc or even browser has not a single clue what to do with this returning connection...