Daily Microstructure Brief — Saturday, 6 June 2026

━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━ DAILY MICROSTRUCTURE BRIEF 2026-06-06 · Saturday · covers prior 24h UTC · peak window 13:00-16:00 ━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━ kraken→cryptocom (ADA/USDT) leads executability today, past okx→kraken (ADA/USD). TOP ROUTES (by executability) 1. kraken→cryptocom (ADA/USDT) Median spread 0.07% · half-life 1357ms · survival @1s: 65.3% · executability 1.4% 2. okx→kraken (ADA/USDT) Median spread 0.073% · half-life 1380ms · survival @1s: 67.7% · executability 0.9% 3. kraken→okx (ADA/USDT) Median spread 0.071% · half-life 1452ms · survival @500ms: 71.5% · executability 0.7% Cited data: 1373 samples across 3 routes, prior 24h UTC. SPREAD DECAY Median half-life across all routes: 1314ms. Survival @ T+1s: 64.6% of 155396 samples. Spreads > 0.40% decayed to below fee floor within 50ms median (1 samples). Spreads collapsed faster today: 1314ms half-life vs 7-day 1631ms. BEST EXECUTION WINDOW 00:00-01:00 UTC (08:00-09:00 SGT) — 67.9% of samples survived to T+500ms above fee floor. at the 24h average. Second: 01:00-02:00 UTC — 66.5% survival. EXCHANGE BEHAVIOUR No exchange-level incidents recorded in 24h. VS YESTERDAY Samples: 155396 (+106650) Top route: kraken→cryptocom (ADA/USDT) median spread 0.07% Survival @1s: 64.6% (+530bps vs yesterday) Median spread: 0.027% (-3bps 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 ━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━