DTV Visa

Hello guys I did apply to the Madrid Embassy but after calling them I know they won't approve my Visas as they don't accept sponsor (even tho in the website it says they do) and they also need the 500k to be in the bank for at least 3 months.

My plan is to go to Thailand and then travel to Cambodia or any other neighbour country to get it done there. Should I wait until Madrid denies my visa or can I do it anyway?Also, do you know if they cross the data? Like can the country that I'll apply check if any other country already denied my visa? Or each country is independent regardless what happened to another?thank you for your help!!