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This is not like SAML work.
In the SAML SSO workflow credentials are provided to the Identity Provider login form, not to the Service Provider so that external link is a must (if you want to keep normal login).
Please, to understand the SAML protocol visit:
https://github.com/jch/saml
If you plan to disable Magneto's normal login and force always the SAML authentication, then you don't need that link and instead we can redirect always the user to the Identity Provider login form when the user access to Magento.
Hi Martin,
Thanks for your response.
We need to be able to fully customize the login page
So Can we customize the login page even it is not Magento page?
You can refer to another extension: http://www.wizkunde.nl/product/single-sign-on-with-saml2-0/
That extension comes with customized login page.
Thanks