add Schema check

CryptoExchange.Net/ExtensionMethods.cs

@@ -6,6 +6,7 @@ using System.Linq;
 using System.Runtime.InteropServices;
 using System.Security;
 using System.Text;
+using System.Text.RegularExpressions;
 using System.Web;
 using CryptoExchange.Net.Logging;
 using CryptoExchange.Net.Objects;
@@ -492,6 +493,22 @@ namespace CryptoExchange.Net
             return ub.Uri;
         }
 
+        /// <summary>
+        /// checks whether schema is provided
+        /// </summary>
+        /// <param name="proxy"></param>
+        /// <returns></returns>
+        public static bool IsSchemaProvided(this ApiProxy proxy)
+        {
+            var url = $"{proxy.Host}:{proxy.Port}";
+            var r = new Regex(@"^(?<proto>\w+)://[^/]+?(?<port>:\d+)?",
+                RegexOptions.None, TimeSpan.FromMilliseconds(150));
+            var match = r.Match(url);
+            if (!match.Success) return false;
+            var proto = match.Result("${proto}");
+            return !string.IsNullOrEmpty(proto);
+        }
+
     }
 }
 

CryptoExchange.Net/Sockets/CryptoExchangeWebSocketClient.cs

@@ -212,13 +212,19 @@ namespace CryptoExchange.Net.Sockets
         /// <inheritdoc />
         public virtual void SetProxy(ApiProxy proxy)
         {
-
+            if (!proxy.IsSchemaProvided())
+            {
+                _socket.Options.Proxy = new WebProxy(proxy.Host, proxy.Port);
+            }
+            else
+            {
                 _socket.Options.Proxy = new WebProxy
                 {
                     Address     = new Uri($"{proxy.Host}:{proxy.Port}"),
                     Credentials = proxy.Password == null ? null : new NetworkCredential(proxy.Login, proxy.Password)
                 };
             }
+        }
 
         /// <inheritdoc />
         public virtual async Task<bool> ConnectAsync()