{ "asof": "2026-10-28", "assets": { "BTC": { "exit_table": [ { "best_venue": { "sell_bp": 0.003, "venue": "binance" }, "conversion_unavailable_venues": [], "depth_coverage_by_venue": { "binance": { "covers_1pct_bid": true, "covers_2pct_bid": false, "covers_required_band": true, "depth_1pct_bid_quote": 17833078.423329458, "depth_2pct_bid_quote": 17916752.355158854, "required_band": "1pct", "side": "bid", "span_below": 0.01048292116392817, "within_observed_depth": true }, "bitfinex": { "covers_1pct_bid": true, "covers_2pct_bid": true, "covers_required_band": true, "depth_1pct_bid_quote": 11024980.457114002, "depth_2pct_bid_quote": 11760151.518463, "required_band": "1pct", "side": "bid", "span_below": 0.31184128952262863, "within_observed_depth": true }, "coinbase": { "covers_1pct_bid": true, "covers_2pct_bid": true, "covers_required_band": true, "depth_1pct_bid_quote": 16882455.710101172, "depth_2pct_bid_quote": 23030740.813913047, "required_band": "1pct", "side": "bid", "span_below": 0.9999998758450529, "within_observed_depth": true }, "gemini": { "covers_1pct_bid": true, "covers_2pct_bid": true, "covers_required_band": true, "depth_1pct_bid_quote": 4527644.1099106725, "depth_2pct_bid_quote": 4953430.848872325, "required_band": "1pct", "side": "bid", "span_below": 0.9999998758674153, "within_observed_depth": true }, "kraken": { "covers_1pct_bid": false, "covers_2pct_bid": false, "covers_required_band": false, "depth_1pct_bid_quote": 17257201.554, "depth_2pct_bid_quote": 17257201.554, "required_band": "1pct", "side": "bid", "span_below": 0.009342348566246541, "within_observed_depth": true }, "okx": { "covers_1pct_bid": true, "covers_2pct_bid": false, "covers_required_band": true, "depth_1pct_bid_quote": 13813391.552105056, "depth_2pct_bid_quote": 14500841.745711746, "required_band": "1pct", "side": "bid", "span_below": 0.011943434643956191, "within_observed_depth": true } }, "q_usd": 1000.0, "quote_conversion_by_venue": { "binance": { "quote_currency": "USDT", "requested_notional_quote": 1001.4320478283946, "state": "bound_usdt_usd", "usd_per_quote": 0.99857 }, "bitfinex": { "quote_currency": "USD", "requested_notional_quote": 1000.0, "state": "identity", "usd_per_quote": 1.0 }, "coinbase": { "quote_currency": "USD", "requested_notional_quote": 1000.0, "state": "identity", "usd_per_quote": 1.0 }, "gemini": { "quote_currency": "USD", "requested_notional_quote": 1000.0, "state": "identity", "usd_per_quote": 1.0 }, "kraken": { "quote_currency": "USD", "requested_notional_quote": 1000.0, "state": "identity", "usd_per_quote": 1.0 }, "okx": { "quote_currency": "USDT", "requested_notional_quote": 1001.4320478283946, "state": "bound_usdt_usd", "usd_per_quote": 0.99857 } }, "sell_bp_by_venue": { "binance": 0.003, "bitfinex": 6.204, "coinbase": 0.004, "gemini": 0.274, "okx": 0.01 }, "unable_at_observed_depth": [], "uncovered_at_required_band": [ "kraken" ], "venue_spread_bp": 6.2, "worst_venue": { "sell_bp": 6.204, "venue": "bitfinex" } }, { "best_venue": { "sell_bp": 0.029, "venue": "binance" }, "conversion_unavailable_venues": [], "depth_coverage_by_venue": { "binance": { "covers_1pct_bid": true, "covers_2pct_bid": false, "covers_required_band": true, "depth_1pct_bid_quote": 17833078.423329458, "depth_2pct_bid_quote": 17916752.355158854, "required_band": "1pct", "side": "bid", "span_below": 0.01048292116392817, "within_observed_depth": true }, "bitfinex": { "covers_1pct_bid": true, "covers_2pct_bid": true, "covers_required_band": true, "depth_1pct_bid_quote": 11024980.457114002, "depth_2pct_bid_quote": 11760151.518463, "required_band": "1pct", "side": "bid", "span_below": 0.31184128952262863, "within_observed_depth": true }, "coinbase": { "covers_1pct_bid": true, "covers_2pct_bid": true, "covers_required_band": true, "depth_1pct_bid_quote": 16882455.710101172, "depth_2pct_bid_quote": 23030740.813913047, "required_band": "1pct", "side": "bid", "span_below": 0.9999998758450529, "within_observed_depth": true }, "gemini": { "covers_1pct_bid": true, "covers_2pct_bid": true, "covers_required_band": true, "depth_1pct_bid_quote": 4527644.1099106725, "depth_2pct_bid_quote": 4953430.848872325, "required_band": "1pct", "side": "bid", "span_below": 0.9999998758674153, "within_observed_depth": true }, "kraken": { "covers_1pct_bid": false, "covers_2pct_bid": false, "covers_required_band": false, "depth_1pct_bid_quote": 17257201.554, "depth_2pct_bid_quote": 17257201.554, "required_band": "1pct", "side": "bid", "span_below": 0.009342348566246541, "within_observed_depth": true }, "okx": { "covers_1pct_bid": true, "covers_2pct_bid": false, "covers_required_band": true, "depth_1pct_bid_quote": 13813391.552105056, "depth_2pct_bid_quote": 14500841.745711746, "required_band": "1pct", "side": "bid", "span_below": 0.011943434643956191, "within_observed_depth": true } }, "q_usd": 10000.0, "quote_conversion_by_venue": { "binance": { "quote_currency": "USDT", "requested_notional_quote": 10014.320478283946, "state": "bound_usdt_usd", "usd_per_quote": 0.99857 }, "bitfinex": { "quote_currency": "USD", "requested_notional_quote": 10000.0, "state": "identity", "usd_per_quote": 1.0 }, "coinbase": { "quote_currency": "USD", "requested_notional_quote": 10000.0, "state": "identity", "usd_per_quote": 1.0 }, "gemini": { "quote_currency": "USD", "requested_notional_quote": 10000.0, "state": "identity", "usd_per_quote": 1.0 }, "kraken": { "quote_currency": "USD", "requested_notional_quote": 10000.0, "state": "identity", "usd_per_quote": 1.0 }, "okx": { "quote_currency": "USDT", "requested_notional_quote": 10014.320478283946, "state": "bound_usdt_usd", "usd_per_quote": 0.99857 } }, "sell_bp_by_venue": { "binance": 0.029, "bitfinex": 6.245, "coinbase": 0.03, "gemini": 0.373, "okx": 0.042 }, "unable_at_observed_depth": [], "uncovered_at_required_band": [ "kraken" ], "venue_spread_bp": 6.22, "worst_venue": { "sell_bp": 6.245, "venue": "bitfinex" } }, { "best_venue": { "sell_bp": 0.281, "venue": "binance" }, "conversion_unavailable_venues": [], "depth_coverage_by_venue": { "binance": { "covers_1pct_bid": true, "covers_2pct_bid": false, "covers_required_band": true, "depth_1pct_bid_quote": 17833078.423329458, "depth_2pct_bid_quote": 17916752.355158854, "required_band": "1pct", "side": "bid", "span_below": 0.01048292116392817, "within_observed_depth": true }, "bitfinex": { "covers_1pct_bid": true, "covers_2pct_bid": true, "covers_required_band": true, "depth_1pct_bid_quote": 11024980.457114002, "depth_2pct_bid_quote": 11760151.518463, "required_band": "1pct", "side": "bid", "span_below": 0.31184128952262863, "within_observed_depth": true }, "coinbase": { "covers_1pct_bid": true, "covers_2pct_bid": true, "covers_required_band": true, "depth_1pct_bid_quote": 16882455.710101172, "depth_2pct_bid_quote": 23030740.813913047, "required_band": "1pct", "side": "bid", "span_below": 0.9999998758450529, "within_observed_depth": true }, "gemini": { "covers_1pct_bid": true, "covers_2pct_bid": true, "covers_required_band": true, "depth_1pct_bid_quote": 4527644.1099106725, "depth_2pct_bid_quote": 4953430.848872325, "required_band": "1pct", "side": "bid", "span_below": 0.9999998758674153, "within_observed_depth": true }, "kraken": { "covers_1pct_bid": false, "covers_2pct_bid": false, "covers_required_band": false, "depth_1pct_bid_quote": 17257201.554, "depth_2pct_bid_quote": 17257201.554, "required_band": "1pct", "side": "bid", "span_below": 0.009342348566246541, "within_observed_depth": true }, "okx": { "covers_1pct_bid": true, "covers_2pct_bid": false, "covers_required_band": true, "depth_1pct_bid_quote": 13813391.552105056, "depth_2pct_bid_quote": 14500841.745711746, "required_band": "1pct", "side": "bid", "span_below": 0.011943434643956191, "within_observed_depth": true } }, "q_usd": 100000.0, "quote_conversion_by_venue": { "binance": { "quote_currency": "USDT", "requested_notional_quote": 100143.20478283947, "state": "bound_usdt_usd", "usd_per_quote": 0.99857 }, "bitfinex": { "quote_currency": "USD", "requested_notional_quote": 100000.0, "state": "identity", "usd_per_quote": 1.0 }, "coinbase": { "quote_currency": "USD", "requested_notional_quote": 100000.0, "state": "identity", "usd_per_quote": 1.0 }, "gemini": { "quote_currency": "USD", "requested_notional_quote": 100000.0, "state": "identity", "usd_per_quote": 1.0 }, "kraken": { "quote_currency": "USD", "requested_notional_quote": 100000.0, "state": "identity", "usd_per_quote": 1.0 }, "okx": { "quote_currency": "USDT", "requested_notional_quote": 100143.20478283947, "state": "bound_usdt_usd", "usd_per_quote": 0.99857 } }, "sell_bp_by_venue": { "binance": 0.281, "bitfinex": 6.653, "coinbase": 0.297, "gemini": 1.367, "okx": 0.369 }, "unable_at_observed_depth": [], "uncovered_at_required_band": [ "kraken" ], "venue_spread_bp": 6.37, "worst_venue": { "sell_bp": 6.653, "venue": "bitfinex" } }, { "best_venue": { "sell_bp": 2.808, "venue": "binance" }, "conversion_unavailable_venues": [], "depth_coverage_by_venue": { "binance": { "covers_1pct_bid": true, "covers_2pct_bid": false, "covers_required_band": true, "depth_1pct_bid_quote": 17833078.423329458, "depth_2pct_bid_quote": 17916752.355158854, "required_band": "1pct", "side": "bid", "span_below": 0.01048292116392817, "within_observed_depth": true }, "bitfinex": { "covers_1pct_bid": true, "covers_2pct_bid": true, "covers_required_band": true, "depth_1pct_bid_quote": 11024980.457114002, "depth_2pct_bid_quote": 11760151.518463, "required_band": "1pct", "side": "bid", "span_below": 0.31184128952262863, "within_observed_depth": true }, "coinbase": { "covers_1pct_bid": true, "covers_2pct_bid": true, "covers_required_band": true, "depth_1pct_bid_quote": 16882455.710101172, "depth_2pct_bid_quote": 23030740.813913047, "required_band": "1pct", "side": "bid", "span_below": 0.9999998758450529, "within_observed_depth": true }, "gemini": { "covers_1pct_bid": true, "covers_2pct_bid": true, "covers_required_band": true, "depth_1pct_bid_quote": 4527644.1099106725, "depth_2pct_bid_quote": 4953430.848872325, "required_band": "1pct", "side": "bid", "span_below": 0.9999998758674153, "within_observed_depth": true }, "kraken": { "covers_1pct_bid": false, "covers_2pct_bid": false, "covers_required_band": false, "depth_1pct_bid_quote": 17257201.554, "depth_2pct_bid_quote": 17257201.554, "required_band": "1pct", "side": "bid", "span_below": 0.009342348566246541, "within_observed_depth": true }, "okx": { "covers_1pct_bid": true, "covers_2pct_bid": false, "covers_required_band": true, "depth_1pct_bid_quote": 13813391.552105056, "depth_2pct_bid_quote": 14500841.745711746, "required_band": "1pct", "side": "bid", "span_below": 0.011943434643956191, "within_observed_depth": true } }, "q_usd": 1000000.0, "quote_conversion_by_venue": { "binance": { "quote_currency": "USDT", "requested_notional_quote": 1001432.0478283947, "state": "bound_usdt_usd", "usd_per_quote": 0.99857 }, "bitfinex": { "quote_currency": "USD", "requested_notional_quote": 1000000.0, "state": "identity", "usd_per_quote": 1.0 }, "coinbase": { "quote_currency": "USD", "requested_notional_quote": 1000000.0, "state": "identity", "usd_per_quote": 1.0 }, "gemini": { "quote_currency": "USD", "requested_notional_quote": 1000000.0, "state": "identity", "usd_per_quote": 1.0 }, "kraken": { "quote_currency": "USD", "requested_notional_quote": 1000000.0, "state": "identity", "usd_per_quote": 1.0 }, "okx": { "quote_currency": "USDT", "requested_notional_quote": 1001432.0478283947, "state": "bound_usdt_usd", "usd_per_quote": 0.99857 } }, "sell_bp_by_venue": { "binance": 2.808, "bitfinex": 10.735, "coinbase": 2.962, "gemini": 11.306, "okx": 3.631 }, "unable_at_observed_depth": [], "uncovered_at_required_band": [ "kraken" ], "venue_spread_bp": 8.5, "worst_venue": { "sell_bp": 11.306, "venue": "gemini" } } ], "history": { "comparability": "per-venue series vs own history only; N_eff series only across snapshots sharing the latest snapshot's reachable venue set (\u00a7W3.1)", "concentration": { "n_eff_stress_pctl": 0.0239, "note": "N_eff venues vs accrued same-venue-set snapshots (INVERTED: fewer effective doors = stress)", "obs": 2614 }, "per_venue": { "binance": { "depth_stress_pctl": 0.6554, "note": "\u00b11% depth vs this venue's own accrued series (INVERTED: shallow = stress)", "obs": 2616 }, "bitfinex": { "depth_stress_pctl": 0.0951, "note": "\u00b11% depth vs this venue's own accrued series (INVERTED: shallow = stress)", "obs": 2614 }, "coinbase": { "depth_stress_pctl": 0.3343, "note": "\u00b11% depth vs this venue's own accrued series (INVERTED: shallow = stress)", "obs": 2616 }, "gemini": { "depth_stress_pctl": 0.2866, "note": "\u00b11% depth vs this venue's own accrued series (INVERTED: shallow = stress)", "obs": 2615 }, "kraken": { "depth_stress_pctl": 0.6205, "note": "\u00b11% depth vs this venue's own accrued series (INVERTED: shallow = stress)", "obs": 2615 }, "okx": { "depth_stress_pctl": 0.3194, "note": "\u00b11% depth vs this venue's own accrued series (INVERTED: shallow = stress)", "obs": 2616 } } }, "regime": { "bar_1a": { "bar": "1a", "episode_ledger": { "drop": 0.3, "episodes": [ { "baseline_depth_1pct": 54258545.938061535, "max_drop": 0.3569751471041527, "onset_utc": "2026-07-21T18:00:47+00:00", "recovered": true, "recovery_hours": 6.016, "recovery_utc": "2026-07-22T00:01:43+00:00", "trough_depth_1pct": 34889593.520164594, "trough_utc": "2026-07-21T18:00:47+00:00" }, { "baseline_depth_1pct": 51016598.68433112, "max_drop": 0.4799743066543356, "onset_utc": "2026-07-22T09:01:24+00:00", "recovered": true, "recovery_hours": 23.001, "recovery_utc": "2026-07-23T08:01:27+00:00", "trough_depth_1pct": 26529942.1029568, "trough_utc": "2026-07-22T11:01:32+00:00" }, { "baseline_depth_1pct": 48055788.78333354, "max_drop": 0.39988860471090804, "onset_utc": "2026-07-28T18:01:43+00:00", "recovered": true, "recovery_hours": 39.993, "recovery_utc": "2026-07-30T10:01:18+00:00", "trough_depth_1pct": 28838826.458484188, "trough_utc": "2026-07-29T11:01:13+00:00" }, { "baseline_depth_1pct": 120149497.62588271, "max_drop": 0.8685601758859938, "onset_utc": "2026-07-31T08:01:23+00:00", "recovered": true, "recovery_hours": 1969.993, "recovery_utc": "2026-10-21T10:00:57+00:00", "trough_depth_1pct": 15792428.835332233, "trough_utc": "2026-08-19T21:01:15+00:00" }, { "baseline_depth_1pct": 123655244.8526612, "max_drop": 0.3036938163161592, "onset_utc": "2026-10-21T14:01:36+00:00", "recovered": true, "recovery_hours": 1.006, "recovery_utc": "2026-10-21T15:01:56+00:00", "trough_depth_1pct": 86101911.63584742, "trough_utc": "2026-10-21T14:01:36+00:00" }, { "baseline_depth_1pct": 123655244.8526612, "max_drop": 0.7834801663056146, "note": "episode still open at end of accrued history", "onset_utc": "2026-10-22T00:00:38+00:00", "recovered": false, "recovery_hours": null, "recovery_utc": null, "trough_depth_1pct": 26773813.05093672, "trough_utc": "2026-10-25T11:00:25+00:00" } ], "n_episodes": 6, "recovery_frac": 0.9, "rules": "onset/trough/recovery per docs/prereg/wave2_prereg.md \u00a7W3 \u2014 declared before any episode accrued", "symbol": "BTCUSDT", "window_h": 12.0 }, "hits": 2, "n_episodes": 6, "needed_episodes": 4, "needed_hits": 3, "passed": false, "prereg": "docs/prereg/wave2_prereg.md \u00a71 bar 1a + \u00a7W3 rules", "q_usd": 100000.0, "reason": "2 of first 4 episodes led by a positive 24h SaR-Trend at $100,000 (need >= 3); harness verdict only \u2014 adoption per prereg governance, never on the episode that motivated a look", "scored_episodes": [ { "hit": false, "onset_utc": "2026-07-21T18:00:47+00:00", "pre_onset_utc": "2026-07-21T17:01:20+00:00", "trend": -3.5915175112032328e-06 }, { "hit": true, "onset_utc": "2026-07-22T09:01:24+00:00", "pre_onset_utc": "2026-07-22T08:01:53+00:00", "trend": 5.218634563809637e-07 }, { "hit": false, "onset_utc": "2026-07-28T18:01:43+00:00", "pre_onset_utc": "2026-07-28T17:01:58+00:00", "trend": -6.35780327462222e-06 }, { "hit": true, "onset_utc": "2026-07-31T08:01:23+00:00", "pre_onset_utc": "2026-07-31T07:00:59+00:00", "trend": 1.6230872800562982e-07 } ], "status": "evaluated", "symbol": "BTCUSDT" }, "collapse_alert": { "baseline_depth_1pct": 48813668.43162687, "display_only": true, "evaluable": true, "fired": false, "latest_depth_1pct": 39083105.1025215, "note": "\u00b11% aggregate depth vs trailing 12h max", "policy": "DISPLAY-ONLY: prereg bar 1a (docs/prereg/wave2_prereg.md) has NOT passed \u2014 needs >=3 of first 4 accrued depth-collapse episodes led by a positive 24h SaR-Trend. This module only measures; it never declares the bar passed.", "realized_drop": 0.19934095596062273, "symbol": "BTCUSDT", "threshold_drop": 0.3, "type": "depth_collapse", "window_h": 12.0 }, "current_state": { "asof": "2026-10-28", "note": "RESEARCH label \u2014 bar 2a not passed; terciles fit on the 2621 snapshots before the latest", "state": "stressed" }, "diagnostics": { "asof": "2026-10-28", "available": true, "current_state": "stressed", "expected_sojourn_steps": { "calm": 4.628, "mixed": 2.475, "stressed": 2.593 }, "expected_steps_to_stressed": { "calm": 11.716, "mixed": 8.273, "stressed": 0.0 }, "forecast_from_current": { "1": { "calm": 0.054032, "mixed": 0.331671, "stressed": 0.614298 }, "2": { "calm": 0.141882, "mixed": 0.411387, "stressed": 0.446732 }, "3": { "calm": 0.217638, "mixed": 0.419577, "stressed": 0.362785 }, "4": { "calm": 0.274126, "mixed": 0.410641, "stressed": 0.315232 }, "5": { "calm": 0.314052, "mixed": 0.400004, "stressed": 0.285945 } }, "label": "RESEARCH \u2014 descriptive functionals of the smoothed train-fit transition matrix; bar 2a not passed, so none of this is a validated forecast", "stationary": { "calm": 0.400519, "mixed": 0.371014, "stressed": 0.228466 }, "transition_matrix": { "calm": { "calm": 0.783912, "mixed": 0.18515, "stressed": 0.030938 }, "mixed": { "calm": 0.2, "mixed": 0.595887, "stressed": 0.204113 }, "stressed": { "calm": 0.054032, "mixed": 0.331671, "stressed": 0.614298 } }, "units": "snapshot steps at the accrual cadence \u2014 NOT calendar days; the cadence is irregular" }, "episodes": { "drop": 0.3, "episodes": [ { "baseline_depth_1pct": 54258545.938061535, "max_drop": 0.3569751471041527, "onset_utc": "2026-07-21T18:00:47+00:00", "recovered": true, "recovery_hours": 6.016, "recovery_utc": "2026-07-22T00:01:43+00:00", "trough_depth_1pct": 34889593.520164594, "trough_utc": "2026-07-21T18:00:47+00:00" }, { "baseline_depth_1pct": 51016598.68433112, "max_drop": 0.4799743066543356, "onset_utc": "2026-07-22T09:01:24+00:00", "recovered": true, "recovery_hours": 23.001, "recovery_utc": "2026-07-23T08:01:27+00:00", "trough_depth_1pct": 26529942.1029568, "trough_utc": "2026-07-22T11:01:32+00:00" }, { "baseline_depth_1pct": 48055788.78333354, "max_drop": 0.39988860471090804, "onset_utc": "2026-07-28T18:01:43+00:00", "recovered": true, "recovery_hours": 39.993, "recovery_utc": "2026-07-30T10:01:18+00:00", "trough_depth_1pct": 28838826.458484188, "trough_utc": "2026-07-29T11:01:13+00:00" }, { "baseline_depth_1pct": 120149497.62588271, "max_drop": 0.8685601758859938, "onset_utc": "2026-07-31T08:01:23+00:00", "recovered": true, "recovery_hours": 1969.993, "recovery_utc": "2026-10-21T10:00:57+00:00", "trough_depth_1pct": 15792428.835332233, "trough_utc": "2026-08-19T21:01:15+00:00" }, { "baseline_depth_1pct": 123655244.8526612, "max_drop": 0.3036938163161592, "onset_utc": "2026-10-21T14:01:36+00:00", "recovered": true, "recovery_hours": 1.006, "recovery_utc": "2026-10-21T15:01:56+00:00", "trough_depth_1pct": 86101911.63584742, "trough_utc": "2026-10-21T14:01:36+00:00" }, { "baseline_depth_1pct": 123655244.8526612, "max_drop": 0.7834801663056146, "note": "episode still open at end of accrued history", "onset_utc": "2026-10-22T00:00:38+00:00", "recovered": false, "recovery_hours": null, "recovery_utc": null, "trough_depth_1pct": 26773813.05093672, "trough_utc": "2026-10-25T11:00:25+00:00" } ], "n_episodes": 6, "recovery_frac": 0.9, "rules": "onset/trough/recovery per docs/prereg/wave2_prereg.md \u00a7W3 \u2014 declared before any episode accrued", "symbol": "BTCUSDT", "window_h": 12.0 }, "history_source": "crypto_depth.jsonl (binance accrual \u2014 the longest-memory store)" }, "unreachable_venues": {}, "venue_concentration": { "band": "\u00b11% aggregate depth (both sides)", "coverage_note": "book(s) truncated inside \u00b11% at: kraken \u2014 their depth (and share) is a LOWER BOUND, so concentration in the remaining venues may be overstated; flags from the collector, surfaced not smoothed", "cr1_top_venue": { "share": 0.2455, "venue": "binance" }, "depth_usd_by_venue": { "binance": 39411297.07, "bitfinex": 22178585.71, "coinbase": 33092193.68, "gemini": 5990366.42, "kraken": 36539874.75, "okx": 23291218.54 }, "hhi": 0.1962, "method": "engine/sar.py concentration mathematics (arXiv:2603.09164) = LiquiLens M4 single-counterparty pattern, applied to venues", "n_eff_venues": 5.1, "share_by_venue": { "binance": 0.2455, "bitfinex": 0.1382, "coinbase": 0.2062, "gemini": 0.0373, "kraken": 0.2277, "okx": 0.1451 } }, "venue_observation_at_utc_by_venue": { "binance": "2026-10-28T15:01:31+00:00", "bitfinex": "2026-10-28T15:01:33+00:00", "coinbase": "2026-10-28T15:01:31+00:00", "gemini": "2026-10-28T15:01:33+00:00", "kraken": "2026-10-28T15:01:32+00:00", "okx": "2026-10-28T15:01:32+00:00" } } }, "audience": "retail traders and small crypto desks \u2014 position grid ['$1,000', '$10,000', '$100,000', '$1,000,000']", "board_guarantee_crypto": { "coverage_status": "calibrating", "guarantee_label": "withheld \u2014 calibrating (n=31 of 60 evaluated days; realized coverage so far: 0.8387)", "next_day_upper_bound": 0.5475, "prereg": "docs/prereg/wave2_prereg.md bar 5a \u2014 measurement only; no bar is declared passed by code" }, "disclaimer": "Research & market data, not investment advice. Every number carries its method and its limits.", "flows": { "cex_flows": { "aggregate_netflow_24h_usd": 1307221943.5498452, "asof": "2026-10-28", "missing_24h": [], "note": "aggregate 24h net inflow vs this store's own accrued same-venue-set snapshots; high inflow = coins onto exchange wallets = potential sell pressure (NOT inverted; source: defillama /cexs, their methodology)", "obs": 2358, "per_venue": { "Binance-CEX": { "cleanAssetsTvl": 144232154262.98444, "currentTvl": 144232154262.98444, "inflows_1m": 1678429668.6127257, "inflows_1w": 992764790.3577857, "inflows_24h": 1233335598.564715, "name": "Binance" }, "Bybit": { "cleanAssetsTvl": 14960708593.443111, "currentTvl": 14960708593.443111, "inflows_1m": -195570342.8405518, "inflows_1w": -127660922.85904759, "inflows_24h": -55253286.18140088, "name": "Bybit" }, "Gate": { "cleanAssetsTvl": 6462851462.11682, "currentTvl": 6462851462.11682, "inflows_1m": 594726627.1397172, "inflows_1w": 420428157.70765674, "inflows_24h": 18623766.99169537, "name": "Gate" }, "bitfinex": { "cleanAssetsTvl": 14991129608.616354, "currentTvl": 14991129608.616354, "inflows_1m": 1231910393.9613097, "inflows_1w": 136282843.60486975, "inflows_24h": 21870116.01529328, "name": "Bitfinex" }, "bitget": { "cleanAssetsTvl": 6206255130.929298, "currentTvl": 6206255130.929298, "inflows_1m": 630246766.5720704, "inflows_1w": 843075681.841078, "inflows_24h": 68888251.97328801, "name": "Bitget" }, "deribit": { "cleanAssetsTvl": 3946507219.2679105, "currentTvl": 3946507219.2679105, "inflows_1m": -963179142.0053532, "inflows_1w": 68318027.26567139, "inflows_24h": -2974163.8955559502, "name": "Deribit" }, "gemini": { "cleanAssetsTvl": 5304356921.598662, "currentTvl": 5304356921.598662, "inflows_1m": -28309157.647479836, "inflows_1w": -7907547.128731802, "inflows_24h": 6079777.621303386, "name": "Gemini" }, "kucoin": { "cleanAssetsTvl": 2715742225.086933, "currentTvl": 2715742225.086933, "inflows_1m": -135932380.8427814, "inflows_1w": -52760932.56020341, "inflows_24h": -29417535.269730285, "name": "KuCoin" }, "okx": { "cleanAssetsTvl": 28987271244.515965, "currentTvl": 28987271244.515965, "inflows_1m": 74013146.43201742, "inflows_1w": -21207762.843736358, "inflows_24h": 46069417.73023725, "name": "OKX" } }, "source": "defillama /cexs (their wallet-coverage methodology)", "span_days": 98.54, "stress_pctl": 0.9086, "unmatched": [ "kraken" ], "venues_reporting": 9 }, "flow_graph": { "account_types": { "count_typed": 13211, "types_histogram": { "passthrough": 2, "sink": 50, "dispenser": 67, "one-way": 103, "quiet": 12989 } }, "asof": "2026-10-28", "densest": { "approximation": "Charikar greedy peeling: >= 1/2 of optimal density guaranteed (Charikar 2000); exact STDF temporal machinery (arXiv:2602.15773) NOT implemented \u2014 sampled graph is tiny", "density_usd": 2746240111.01, "edges": 729, "members": [ { "address": "0x742d35cc6634c0532925a3b844bc454e4438f44e", "label": "Bitfinex ETH/ERC20 cold wallet" }, { "address": "0x77134cbc06cb00b66f4c7e623d5fdbf6777635ec" } ] }, "graph": { "edges": 19729, "nodes": 13211, "skipped": { "malformed": 0, "self": 0, "unpriced": 22665, "unresolved_counterparty": 15551 }, "window": { "first": "2026-07-22T02:09:40+00:00", "last": "2026-10-28T15:01:52+00:00", "snapshots": 2358, "span_days": 98.54 } }, "method_note": "RESEARCH label, rule-based simplifications stated: account typing is threshold rules over accrued USD legs in the ExSTraQt lineage (arXiv:2604.02899), NOT their sklearn model; densest subgraph is Charikar greedy peeling on the undirected USD projection \u2014 an honest 1/2-approximation (Charikar 2000) in the Conan dense-flow lineage (arXiv:2602.15773), NOT their exact STDF temporal machinery, because this sampled graph is tiny. The graph is SAMPLED from watched wallets' recent-transfer windows \u2014 txs between runs are invisible; one edge per (asset, txid, from, to) no matter how many snapshots witnessed it. Context layer only \u2014 never a RIPTIDE pop feature.", "status": "ok" }, "mempool_large_tx": { "asof": "2026-10-28", "count_stress_pctl": 0.3824, "large_count": 0, "large_usd_total": 0, "method_note": "unlabeled, unconfirmed mempool txs sampled from the trailing ~10-entry /recent tail at fetch time \u2014 no entity graph, replaceable/droppable before confirmation, and large transfers that confirm between hourly samples are invisible; a smoke detector with declared blind spots, not a tagged whale feed", "note": "large-tx count & USD vs this store's own accrued history; high = big unlabeled coins moving unconfirmed (NOT inverted; unlabeled, unconfirmed mempool txs sampled from the trailing ~10-entry /recent tail at fetch time \u2014 no entity graph, replaceable/droppable before confirmation, and large transfers that confirm between hourly samples are invisible; a smoke detector with declared blind spots, not a tagged whale feed)", "obs": 2356, "price_usd": 80487.0, "sample_size": 10, "span_days": 98.54, "threshold_usd": 250000, "top": [], "usd_stress_pctl": 0.3824 }, "wallet_movements": { "count_watched": 6, "notable_24h_count": 0, "notable_24h_covered": false, "notable_24h_note": "AT LEAST 0. At least one wallet moved more than 10 times between consecutive runs, so transfers that happened between snapshots were never observed by anything and cannot be recovered. Read this as a floor, never as a census." } }, "generated_at": "2026-10-28T15:03:12+00:00", "method_notes": { "alerts": "DISPLAY-ONLY: prereg bar 1a (docs/prereg/wave2_prereg.md) has NOT passed \u2014 needs >=3 of first 4 accrued depth-collapse episodes led by a positive 24h SaR-Trend. This module only measures; it never declares the bar passed.", "slippage": "BAND-INTERPOLATED slippage estimate: snapshots store AGGREGATE quote depth at the \u00b11%/\u00b12% bands only, not full order books; S(Q) assumes uniform liquidity density within each band. This is a LOWER-RESOLUTION estimate than full-book walking (the paper's S(Q)) and must never be presented as book-walked. Q beyond observed \u00b12% depth returns None \u2014 no extrapolation." }, "provenance": { "btc_venue_latest_utc": "2026-10-28T15:01:33+00:00", "cex_snapshots": 2358, "depth_snapshots": 2622, "engines": [ "undertow_mm.engine.sar \u2014 band-interpolated S(Q)/Q(S) (arXiv:2603.09164); concentration haircut HHI/N_eff/CR1 + withdrawal scenario", "LiquiLens M4 concentration pattern (single-counterparty dependence + withdrawal cliff), applied to VENUES \u2014 same mathematics as the AP map", "undertow_mm.engine.states \u2014 liquidity-state layer (arXiv:2607.09230), RESEARCH until bar 2a", "undertow_mm.engine.guarantees \u2014 ACI conformal bound on the CRYPTO board score (bar 5a ledger), surfaced when the live pack exists", "undertow_mm.collectors.cex_reserves \u2014 DefiLlama /cexs exchange reserves & netflows, own-history percentile under the accrual gate", "undertow_mm.collectors.wallet_watch \u2014 provenance-labeled watchlist wallets (mempool.space esplora + ethplorer freekey), per-wallet movement vs its OWN history only", "undertow_mm.collectors.btc_mempool_whales \u2014 large unconfirmed mempool transfers (unlabeled, the declared keyless ceiling)" ], "prereg": "docs/prereg/wave2_prereg.md \u00a7W3.1 \u2014 every output a MEASURE or parent-engine RESEARCH label; no forecast claim without its bar", "quote_note": "BTC/USD requested notionals are identity-sized on USD books and converted to USDT with this snapshot's observed usdt_usd price on USDT books", "venue_latest_utc": "2026-10-28T15:01:36+00:00", "venue_snapshots": 2616, "wallet_snapshots": 2358, "whale_snapshots": 2356 }, "schema": "undertow.crypto_desk.v2", "usdt_usd": { "depeg_flag": false, "depeg_warn_threshold": 0.005, "deviation": 0.0014300000000000423, "observed_at_utc": "2026-10-28T15:01:36+00:00", "price": 0.99857, "source": "coinbase USDT-USD ticker", "status": "observed" }, "public_subset": true, "free_view": "ETH desk + venue withdrawal scenarios + watched-wallet detail: subscriber tier" }