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Alby extension is great, you can connect so many funding sources. As most of the activity on desktop is through a browser, Alby extension is very handy to pay.
But if you want to use others for specific occasions, you have: Self-custody ones Electrum (all platforms), LNbits, Zeus (masOS), Blixt (macOS), Bluewallet (macOS), old Zap (not maintained anymore).
Then you have the node "cockpits" that can be used as wallets too: RTL and Thunderhub, Clams, FullyNoded.
Then you have the custodial ones: CoinOS, Walletano, Lifpay, Zebedee (this one also have a browser extension), Voltz (https://lnvoltz.com - is a private LNbits bank account)
How private is using this setup?
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Which one ? I presented many options. Custodials are mostly used as decoys.
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Which one collects the absolute least amount of info about/from me?
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The one that you do not give any information about you. Anything that touches internet is not private anymore. I don't know why people are looking for privacy on internet when in fact is a PUBLIC space that offer almost 0 privacy. If you want something to be private, do it in private, not in public.
If you still want to protect your REAL you, the living man, then don't use any information about that identity on internet. Use a decoy.
So even if I would use a custodial account, I would not use it with real info, just a dummy one. Is a decoy anyways. Let's say Darthcoin is spending on weed using a custodial Alby account. I really don't give a shit, Darthcoin exist only in virtual space. Virtual means it doesn't exist in reality.
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is a decoy set up just essentially a new wallet, new email address etc and separate activities from a main wallet, or are there some other levels?
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Is up to you how you manage them. Important is that you never use your real identity.
Let me explain a bit what is "decoy wallet":
  • it is a temporary repository of funds, you never keep your funds there for long time.
  • it is a temporary deposit when you receive sats, from buying, tips, sells etc, so you will not reveal your real holding wallets or any other cache wallet.
  • it is a temporary level where you are doing the coin control, management of funds
  • it is a temporary "cache" place in case you need to rebalance channels, move funds in/out from channels, without using an UTXO (that could reveal your wallets).
Mastering BTC LN wallets require time and knowledge.
Always have in mind this simple chart of the 3 levels stash: hold, cache, spend (LN)
Now think again: where you will locate these "decoy wallets" in this image?