Networking – Home Network Proxy Server

First, my setup:

1. a cable modem and a Fritz!Box connecting me to the Internet
2. a PC connected via network cable to the Fritz Box
3. multiple Wi-Fi devices, also connected to the Fritz Box

Here is what I want to achieve:
I want to set up something like a network proxy server on a separate machine, that intercepts and (potentially) relays ALL traffic between any device in my network and the Internet. 
I don't care about traffic between devices in my network. 
I don't want to be limited to messages on a certain protocol / port / IP address. 
My main goal is to learn about networking / protocols, etc., and implement multiple applications / play around on that proxy server.  Examples could be:

• Collect statistics about all IPs / ports that had ongoing communication (so, basically forwarding all traffic, and doing some counts)
• block some traffic (e.g., prevent the kids from accessing stuff that they shouldn't see, based on IP address. 
  Prevent software to send privacy-related data about me.)
• warn about new devices in my home network (e.g., somebody misusing my Wi-Fi)
• change messages before forwarding them (e.g., adding text to web content coming in)
• send own messages to either a server on the Internet, or to one of the connected devices (e.g., collected usage statistics to be displayed in a web interface)
• many more …

Assuming that I have a Unix (/ Linux) machine available:

• Network setup: What network topology would be needed? 
  Where in my network do I need to place the proxy machine?
• Settings: What do I need to configure on the proxy, in order to receive and forward all incoming and outgoing traffic? I do NOT want to change settings on the host devices. Connecting them to the network should be enough.
• Programmability: What do I need to set up additionally, in order to read / modify / write / send / block messages/packets using Python?
• Limitations: Would such a setup mean a serious impact on my network speed?

— EDIT —
I made some progress and created a python script that accepts incoming connections. Furthermore, I set the wifi connection of another machine to use the first one as a gateway. I successfully receive messages now, but the problem is, that I don't have any idea where they actually should be sent to. I would assume that I have to change the socket configuration and use transparent proxies, but I didn't find much about how to actually do this in python. Also, my script runs currently on a mac, so maybe not every option for sockets is available.

Below my current snippet:

import socket


def received_from(sock, timeout):
    dt = ""
    sock.settimeout(timeout)
    try:
        while True:
            dt = sock.recv(4096)
            if not dt:
                break
            dt = + dt
    except:
        pass
    return dt


def hexdump(data, length=16):
    filter = ''.join([(len(repr(chr(x))) == 3) and chr(x) or '.' for x in range(256)])
    lines = []
    digits = 4 if isinstance(data, str) else 2
    for c in range(0, len(data), length):
        chars = data[c:c+length]
        hex = ' '.join(["%0*x" % (digits, (x)) for x in chars])
        printable = ''.join(["%s" % (((x) <= 127 and filter[(x)]) or '.') for x in chars])
        lines.append("%04x  %-*s  %s\n" % (c, length*3, hex, printable))
    print(''.join(lines))


s = socket.socket()
print("Socket successfully created")

try:
    port = 12222

    s.bind(('', port))
    print("socket bound to port {}".format(port))

    s.listen(5)
    print("socket listening")

    print("proxy sock: {}".format(s.getsockname()))

    while True:
        try:
            c, addr = s.accept()
            print("got connection from {}".format(addr))
            print("client peer: {}".format(c.getpeername()))
            print("client sock: {}".format(c.getsockname()))

            data = received_from(c, 3)
            hexdump(data)
            print()

            c.send("Connection received. Thanks and bye!".encode('utf-8'))

            c.close()
        except Exception as e:
            c.close()
            raise e

except Exception as e:
    s.close()
    raise e