This topic is old, but since it has been brought back to life, I’ll reply as it may help some people:
Your proxies should be in strategic locations. Capital cities typically have private peering points, so always choose a capital over a regular city for better connectivity.
OVH’s regular network isn’t optimized for gaming unless you’re using a Game dedicated server. In that case, their network is more optimized, and you may experience lower latency in most scenarios.
Using Load Balancers is a far better solution than relying on random proxies. OVH’s Load Balancers use Anycast, which offers better performance compared to any proxy or VPS/Dedi you might set up on your own. I recommend trying a Load Balancer from OVH instead of creating a custom proxy.
Of course, there’s more you can do, such as creating custom routings and prioritizing traffic, but that’s a more advanced topic and would take too much time.