Suppose a device has both ethernet and wireless interfaces enabled and active. Is it correct that ARP requests from one (e.g., ethernet) cannot reach the other (e.g., wireless) unless a Proxy ARP is in place? If my understanding is correct, that's because the ethernet interface and wireless interface belong to different subnets. But does the Proxy ARP create a "virtual" interface that sits on the subnet of the ethernet interface in order to receive ARP requests from it though?

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This depends on how the wireless and the Ethernet parts are connected. When they are transparently bridged (a common case) and are thus in the same segment and subnet, the bridge will forward all broadcast traffic, so an ARP request from one NIC - sent as a broadcast - will reach the other.

If both belong to different subnets and segments then they won't get each other's ARP requests.

Proxy ARP is when (usually) a router answers on behalf of a device that's not on the segment, so even then they won't hear the other interfaces ARP requests.

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