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Lets say I trade some crypto on a platform like Coinbase or Binance, then I send it to my personal wallet. And from my personal wallet I buy games. Now how do you prove that transaction that is going from exchange to my personal wallet, is in fact transaction to my personal wallet and not just another P2P transaction to some other person who gave me cash IRL in exchange?

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There's always a source and destination with every transaction. It'll still be tracked to you, even if you use a bitcoin/eth mixer. 

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There is indeed source and destination with every transaction and they're both public, and it doesn't change the fact that you can't prove that destination belongs to certain person. So this doesn't answer the question I asked.