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Are the firewalls arranged as a HA and failover cluster ?
Or is only one firewall getting the whole traffic ?
That's a good question and I should have received that information. If clustered in HA with a virtual IP then they are all set in proxy mode.
If physically possible I would cluster the Web Gateways with a virtual IP address and use a dedicated interface as heartbeat interface.
So they can work as a HA solution.