Daily Microstructure Brief — Wednesday, 6 May 2026

━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━ DAILY MICROSTRUCTURE BRIEF 2026-05-06 · Wednesday · covers prior 24h UTC · peak window 13:00-16:00 ━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━ Top route rotation: okx→cryptocom (BTC/USD) displaced cryptocom→okx (DOT/USDT) at #1. TOP ROUTES (by executability) 1. okx→cryptocom (BTC/USD) Median spread 0.013% · half-life 1737ms · survival @1s: 86.2% · executability 0.0% 2. okx→cryptocom (BTC/USDT) Median spread 0.011% · half-life 1711ms · survival @1s: 84.8% · executability 0.0% 3. coinbase→cryptocom (BTC/USD) Median spread 0.013% · half-life 1727ms · survival @500ms: 86.1% · executability 0.0% Cited data: 69536 samples across 3 routes, prior 24h UTC. SPREAD DECAY Median half-life across all routes: 1445ms. Survival @ T+1s: 71.1% of 423522 samples. Spreads > 0.40% decayed to below fee floor within 0ms median (0 samples). No material deviation from 7-day decay baselines. BEST EXECUTION WINDOW 04:00-05:00 UTC (12:00-13:00 SGT) — 78.4% of samples survived to T+500ms above fee floor. 1.1x the 24h average. Second: 01:00-02:00 UTC — 78.3% survival. EXCHANGE BEHAVIOUR No exchange-level incidents recorded in 24h. VS YESTERDAY Samples: 423522 (+17026) Top route: okx→cryptocom (BTC/USD) median spread 0.013% Survival @1s: 71.1% (+50bps vs yesterday) Median spread: 0.01% (-2bps 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 ━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━