A friend of mine told me there was a way to connect two private IPs without using a proxy server. The idea was that both computers connected to a public server and some how the server joined the private connections and won't use any more bandwidth.
Is this true? How's this technique named?
There is a technique called "Hole Punching" that works well with "Cone" NAT (Cone is a technical familly of router). That's not an 100% sure technique, today, it works well with UDP on about 80% of the router.
There is some implementations of library to realize Hole Punching: STUN (wikipedia)
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