Daily Microstructure Brief — Thursday, 11 June 2026

━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━ DAILY MICROSTRUCTURE BRIEF 2026-06-11 · Thursday · covers prior 24h UTC · peak window 13:00-16:00 ━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━ kraken→okx (DOT/USDT) topped seven-day executability today. TOP ROUTES (by executability) 1. kraken→okx (DOT/USDT) Median spread 0.053% · half-life 1584ms · survival @1s: 75.9% · executability 1.9% 2. cryptocom→kraken (DOT/USDT) Median spread 0.061% · half-life 1292ms · survival @1s: 60.7% · executability 1.2% 3. okx→kraken (DOT/USDT) Median spread 0.059% · half-life 1388ms · survival @500ms: 67.4% · executability 1.1% Cited data: 230 samples across 3 routes, prior 24h UTC. SPREAD DECAY Median half-life across all routes: 1388ms. Survival @ T+1s: 68.4% of 475296 samples. Spreads > 0.40% decayed to below fee floor within 1551ms median (12 samples). Half-lives tracked 7-day baselines today. BEST EXECUTION WINDOW 04:00-05:00 UTC (12:00-13:00 SGT) — 74.2% of samples survived to T+500ms above fee floor. 1.1x the 24h average. Second: 10:00-11:00 UTC — 72.8% survival. EXCHANGE BEHAVIOUR No exchange state transitions across the 24-hour window. VS YESTERDAY Samples: 475296 (+111194) Top route: kraken→okx (DOT/USDT) median spread 0.053% Survival @1s: 68.4% (-230bps vs yesterday) Median spread: 0.02% (+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 ━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━