Daily Microstructure Brief — Friday, 12 June 2026

━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━ DAILY MICROSTRUCTURE BRIEF 2026-06-12 · Friday · covers prior 24h UTC · peak window 13:00-16:00 ━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━ kraken→okx (DOT/USDT) set a seven-day high on executability. TOP ROUTES (by executability) 1. kraken→okx (DOT/USDT) Median spread 0.045% · half-life 1616ms · survival @1s: 79.3% · executability 0.7% 2. kraken→okx (DOGE/USDT) Median spread 0.033% · half-life 1535ms · survival @1s: 74.4% · executability 0.5% 3. kraken→cryptocom (DOT/USDT) Median spread 0.048% · half-life 1434ms · survival @500ms: 70.1% · executability 0.5% Cited data: 1173 samples across 3 routes, prior 24h UTC. SPREAD DECAY Median half-life across all routes: 1487ms. Survival @ T+1s: 73.2% of 512078 samples. Spreads > 0.40% decayed to below fee floor within 1312ms median (16 samples). Half-lives tracked 7-day baselines today. BEST EXECUTION WINDOW 09:00-10:00 UTC (17:00-18:00 SGT) — 81.2% of samples survived to T+500ms above fee floor. 1.1x the 24h average. Second: 21:00-22:00 UTC — 81.0% survival. EXCHANGE BEHAVIOUR All exchanges stable — no degradation events in 24h. VS YESTERDAY Samples: 512078 (+36782) Top route: kraken→okx (DOT/USDT) median spread 0.045% Survival @1s: 73.2% (+480bps 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 ━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━