Daily Microstructure Brief — Friday, 19 June 2026

━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━ DAILY MICROSTRUCTURE BRIEF 2026-06-19 · Friday · covers prior 24h UTC · peak window 13:00-16:00 ━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━ coinbase→kraken (DOT/USDT) overtook cryptocom→kraken (DOT/USDT) on executability today. TOP ROUTES (by executability) 1. coinbase→kraken (DOT/USDT) Median spread 1.594% · half-life 1738ms · survival @1s: 82.4% · executability 47.1% 2. cryptocom→kraken (SOL/ETH) Median spread 0.145% · half-life 1321ms · survival @1s: 64.9% · executability 13.0% 3. coinbase→kraken (SOL/ETH) Median spread 0.33% · half-life 1655ms · survival @500ms: 83.9% · executability 12.9% Cited data: 125 samples across 3 routes, prior 24h UTC. SPREAD DECAY Median half-life across all routes: 1529ms. Survival @ T+1s: 75.0% of 373262 samples. Spreads > 0.40% decayed to below fee floor within 1702ms median (395 samples). No material deviation from 7-day decay baselines. BEST EXECUTION WINDOW 02:00-03:00 UTC (10:00-11:00 SGT) — 81.1% of samples survived to T+500ms above fee floor. 1.1x the 24h average. Second: 09:00-10:00 UTC — 80.6% survival. EXCHANGE BEHAVIOUR No exchange state transitions across the 24-hour window. VS YESTERDAY Samples: 373262 (-203208) Top route: coinbase→kraken (DOT/USDT) median spread 1.594% Survival @1s: 75.0% (+360bps vs yesterday) Median spread: 0.022% (+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 ━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━