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I have a linux machine and an external HTTP proxy.

I couldn't figure out how can I transfer the whole traffic (udp also if possible) of my system using iptables.

sudo iptables -t nat -N PROXY_CHAIN
sudo iptables -t nat -A PROXY_CHAIN -d [proxy-ip] -p tcp --dport [proxy-port] -j ACCEPT
sudo iptables -t nat -A PROXY_CHAIN -p tcp -j REDIRECT --to-port [proxy-port]
sudo iptables -t nat -A OUTPUT -p tcp -j PROXY_CHAIN
sudo iptables -t nat -A OUTPUT -p tcp -j PROXY_CHAIN
sudo /sbin/iptables-save

These are the commands I ran, but it's not working.

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A proxy gateway is a gateway that is application aware (Layer 7 of the OSI model). This means that not ALL applications can be proxied by any given proxy gateway. In other words, no one size fits all as far as proxy gateways are concerned.

You will need select the applications that you want to send through the proxy gateway, for example HTTP traffic. Then you need tell the HTTP clients/agents where the proxy is located. A web browser a good example of HTTP client/agent

Forwarding all TCP/UDP traffic to the proxy will not make sense. Yes, you can do this on VPN servers since they operate at layers 3 and 4 of the network stack. But proxies are application specific.

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