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Sending directly to cold storage isn’t a best practice?

I'm pretty sure I was told that sending to an "intermediate wallet" that is self custodial, and then sending to cold storage improves privacy when the origin is a centralized exchange.

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How would that improve privacy? The exchange would see:

Exchange wallet --> intermediate wallet --> end wallet

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But then you'd want to coinjoin before sending to cold storage, no?

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I think this has to be done in order to be useful. Otherwise it's just as @Mishawaka said here: #1002518

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Ah, that could be

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