How to set proxy for a python script to run

[Adam]

Hi, I am using a script written in Python. For some reasons I should
pass the fireware by proxy setting. But it seems not work when I set
the 'http_proxy' 'ftp_proxy' environment variable.
I also expored 'HTTP_PROXY' 'FTP_PROXY', but the problem remained.
How can I set proxy for it to run the script?