[Tests] Add unit tests to proxy

## Problem
It is a good idea to have unit tests to provide an automated way of testing if everything works, as opposed to manual testing.

## Feature Description
Add unit tests to proxy.
Most of the important tests would follow the following model:
1. Start the proxy
2. Start a http server
3. Start a client and configure the client to use the proxy.
4. Use some proxy feature (Optional)
5. Make a few requests and check if they worked as intended.

## Alternatives
Manual testing.

## Additional Context
This needs #4 to be implemented to make it easier to instantiate the proxy between tests.