A data transmission method, comprising: establishing a Transmission Control Protocol, TCP, connection between a first device and a second device, wherein the first device is a client and the second device is an Internet server, or the first device is an Internet server and the second device is a client; and a proxy device interacts with the client in a wireless manner, and the proxy device interacts with the Internet server in a wired manner; obtaining, by the proxy device, a first direction start serial number and a first direction reply serial number that correspond to a first direction and a second direction start serial number corresponding to a second direction; wherein the first direction is a direction in which the first device sends data to the second device, and the second direction is a direction in which the second device sends data to the first device; and wherein the first direction start serial number is a start sequence number corresponding to start data in the first direction, and the start data in the first direction is a first piece of data cached in the proxy device last time and transmitted in the first direction; the first direction reply serial number is an end sequence number, which corresponds to end data in the first direction, plus 1, and the end data in the first direction is a last piece of data cached in the proxy device last time and transmitted in the first direction; and the second direction start serial number is a start sequence number corresponding to start data in the second direction, and the start data in the second direction is a first piece of data cached in the proxy device last time and transmitted in the second direction; receiving and caching, by the proxy device, first data sent in the first direction by the first device to the second device, and updating the first direction reply serial number to an end sequence number of the first data plus 1, and at the same time sending, by the proxy device, a first acknowledgement reply to the received first data to the first device according to the updated first direction reply serial number and the second direction start serial number; and forwarding, by the proxy device, the first data to the second device, and updating the first direction start serial number to the first direction reply serial number. establishing a Transmission Control Protocol, TCP, connection between a first device and a second device, wherein the first device is a client and the second device is an Internet server, or the first device is an Internet server and the second device is a client; and a proxy device interacts with the client in a wireless manner, and the proxy device interacts with the Internet server in a wired manner; obtaining, by the proxy device, a first direction start serial number and a first direction reply serial number that correspond to a first direction and a second direction start serial number corresponding to a second direction; wherein the first direction is a direction in which the first device sends data to the second device, and the second direction is a direction in which the second device sends data to the first device; and wherein the first direction start serial number is a start sequence number corresponding to start data in the first direction, and the start data in the first direction is a first piece of data cached in the proxy device last time and transmitted in the first direction; the first direction reply serial number is an end sequence number, which corresponds to end data in the first direction, plus 1, and the end data in the first direction is a last piece of data cached in the proxy device last time and transmitted in the first direction; and the second direction start serial number is a start sequence number corresponding to start data in the second direction, and the start data in the second direction is a first piece of data cached in the proxy device last time and transmitted in the second direction; receiving and caching, by the proxy device, first data sent in the first direction by the first device to the second device, and updating the first direction reply serial number to an end sequence number of the first data plus 1, and at the same time sending, by the proxy device, a first acknowledgement reply to the received first data to the first device according to the updated first direction reply serial number and the second direction start serial number; and forwarding, by the proxy device, the first data to the second device, and updating the first direction start serial number to the first direction reply serial number.