With the current implementation I can't get hold of the socket and set a timeout before the proxy connection to the final endpoint has succeeded.

The following code doesn't work because the 'socket' event is emitted too late

req.on('socket', function(socket) {
    socket.setTimeout(5000);
});

This doesn't work either as node's http client propagates the request's setTimeout either after 'connect' or after 'socket' depending on the situation

req.setTimeout(5000);