How to use URLConnection through a SOCKS proxy?

How can I set the SOCKS proxy for a URLConnection given by (new URL(url)).openConnection()?

Different proxies are needed on a per-connection basis, so please don't suggest setting sys开发者_如何学Gotem properties.

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If you want to use different proxy settings on a per-connection bases, you can use the Java 6.0 ProxySelector mechanism as described in Java Networking and Proxies. Specifically, read sections 3 and 4.