Firewalls are commonly deployed on the Internet for securing private networks. A firewall checks each incoming or outgoing packet to choose whether to accept or reject the packet based on its policy. Optimizing firewall policies is necessary for improving network performance. The optimization process involves cooperative computation between the two firewalls with no any party disclosing its strategy to the other. In this paper, the authors are going to explain first cross-domain privacy-preserving cooperative firewall strategy optimization protocol. For any two adjoining firewalls belonging to two dissimilar administrative domains, their protocol can recognize in each firewall the rules that can be removed because of the other firewall.