We are trying to setup QuickFIX/J using HTTP Proxy in PCF cloud which will interact with HTTP PROXY to send and receive FIX messages from outside third party.
We are not able to find any good comprehensive documentation for setting up HTTP PROXY with QuickFIX/J.
Did you check the proxy options in the official documentation?
QFJ configuration (search for "proxy")
Which version of QFJ are you using? There was a proxy-related bug fixed in the latest version 2.2.0. See Preferred proxy authentication methods removed