Explicit web proxy feature in feature list
How can I enable it
You can navigate to System -> Feature Visibility to enable Explicit proxy feature.
Also, please refer https://docs.fortinet.com/document/fortigate/6.2.0/cookbook/300428/explicit-web-proxy for some info on setting up policies.
I am using the version 6.0 , I can't find under security features
Ok, thats probably because your firewall is in flow mode. You should then go to system settings and change the inspection mode to proxy, and then you should find the option in security features.
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