Daily Microstructure Brief — Wednesday, 3 June 2026

━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━ DAILY MICROSTRUCTURE BRIEF 2026-06-03 · Wednesday · covers prior 24h UTC · peak window 13:00-16:00 ━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━ Top route rotation: okx→kraken (ADA/USDT) displaced okx→kraken (ADA/USD) at #1. TOP ROUTES (by executability) 1. okx→kraken (ADA/USDT) Median spread 0.023% · half-life 1601ms · survival @1s: 78.8% · executability 0.2% 2. coinbase→okx (BTC/USD) Median spread 0.05% · half-life 1989ms · survival @1s: 99.4% · executability 0.0% 3. coinbase→cryptocom (BTC/USD) Median spread 0.041% · half-life 1978ms · survival @500ms: 98.9% · executability 0.0% Cited data: 24635 samples across 3 routes, prior 24h UTC. SPREAD DECAY Median half-life across all routes: 1598ms. Survival @ T+1s: 78.6% of 391350 samples. Spreads > 0.40% decayed to below fee floor within 0ms median (0 samples). Decay profiles consistent with 7-day norms. BEST EXECUTION WINDOW 10:00-11:00 UTC (18:00-19:00 SGT) — 82.4% of samples survived to T+500ms above fee floor. at the 24h average. Second: 11:00-12:00 UTC — 81.8% survival. EXCHANGE BEHAVIOUR All exchanges stable — no degradation events in 24h. VS YESTERDAY Samples: 391350 (-81679) Top route: okx→kraken (ADA/USDT) median spread 0.023% Survival @1s: 78.6% (-70bps vs yesterday) Median spread: 0.025% (+1bps vs yesterday) CONSTRAINTS ON THIS DATA Spread persistence varies materially by route and hour of day. High-spread events (>0.40%) decay faster than the median. Results describe the prior 24h only — not predictive. ━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━ Bot activity — not financial advice. Every signal blockchain-verified: proofsystems.ai/signals Full archive: proofsystems.ai/brief ━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━