System, method and program product for managing sessions. A request to open a session with a destination server is received. A determination is made whether an operational request is received concurrently with the open request or within a predetermined time thereafter. If so, the requested session is opened. If not, the requested session is not opened. The method can be performed by a proxy server. To initiate the session, the operational request should be received concurrently with the open request or within a predetermined time thereafter. The destination server is responsible for processing the operational request. To open the session with the destination server from the proxy server, an open request and the operational request are sent from the proxy server to the destination server. An inbound socket of the proxy server associated with the session is spliced to an outbound socket of the proxy server associated with the session. Consequently, subsequent requests in this session are automatically passed from the inbound socket to the outbound socket. The outbound socket is used for the session with the destination server.