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If I want a client to always use a HTTPs connection, do I only need to include the headers in the code of the application or do I also need to make a change on the server? Also how is this different to simply redirecting a user to a HTTPs page make every single time they attempt to use HTTP?
If you just have HTTP -> HTTPS redirects a client might still try to post sensitive data to you (or GET a URL that has sensitive data in it) – this would leave it exposed publicly. If it knew your site was HSTS then it would not even try to hit it via HTTP and so that exposure is eliminated. It’s a pretty small win IMO – the bigger risks are the vast # of root CAs that everyone trusts blindly thanks to policies at Microsoft, Mozilla, Opera, and Google.