Adding custom protocol data while creating new keepalive connections

Nginx is proxying requests to my custom tcp server. I have my proxy
handler to create the right request format and process headers etc.

The trouble started when I started using keepalive handler. I have to
add a custom protocol header bytes for every new keepalive connection
and skip the header bytes if nginx is using an existing cached one.
Currently create_request is called before getting an upstream connection
(from default round robin handler) and there seems to be no callback to
my module once the connection is selected/created.

Any bright ideas ? Should I provide my one connection handlers to do
this or my own keepalive handler itself ?

Jai