Expose Connection on eventloop initialization

[sushi-shi]

This would allow calling different initialization routines (e.g. using http proxy).

Though because EventLoop does reconnection inside it, this won't be enough. As the same routine needs to be called every time we reconnect to the server.
So I can either:

• add support for proxy directly;
• provide a callback which is going to be called everytime we connect to the socket.

I am willing to implement it.