What are the benefits of using a proxy

If both people used the same proxy would that speed things up? I currently have a vps that i could use as one.

A direct UDP connection would always be the best.   So as a general rule of thumb a proxy would not be beneficial.  Using the same proxy on both ends may be beneficial or it may be detrimental.    If the proxy is able to provide you with a better virtual connection than not using a proxy and bandwidth, latency, and its configuration are ideal then it might work out better for you.  Due to the amount of unknown variables, there is no way for anyone to know that it will.

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