Daily Microstructure Brief — Thursday, 4 June 2026

━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━ DAILY MICROSTRUCTURE BRIEF 2026-06-04 · Thursday · covers prior 24h UTC · peak window 13:00-16:00 ━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━ kraken→okx (ETH/BTC) overtook okx→kraken (ADA/USD) on executability today. TOP ROUTES (by executability) 1. kraken→okx (ETH/BTC) Median spread 0.038% · half-life 1557ms · survival @1s: 75.2% · executability 0.9% 2. cryptocom→kraken (DOT/USDT) Median spread 0.054% · half-life 1499ms · survival @1s: 72.7% · executability 0.2% 3. okx→kraken (DOT/USDT) Median spread 0.049% · half-life 1646ms · survival @500ms: 81.4% · executability 0.2% Cited data: 1358 samples across 3 routes, prior 24h UTC. SPREAD DECAY Median half-life across all routes: 1478ms. Survival @ T+1s: 72.6% of 650822 samples. Spreads > 0.40% decayed to below fee floor within 0ms median (0 samples). Decay profiles consistent with 7-day norms. BEST EXECUTION WINDOW 11:00-12:00 UTC (19:00-20:00 SGT) — 80.4% of samples survived to T+500ms above fee floor. 1.1x the 24h average. Second: 10:00-11:00 UTC — 79.1% survival. EXCHANGE BEHAVIOUR No exchange-level incidents recorded in 24h. VS YESTERDAY Samples: 650822 (+259472) Top route: kraken→okx (ETH/BTC) median spread 0.038% Survival @1s: 72.6% (-600bps vs yesterday) Median spread: 0.025% (+0bps 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 ━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━