I would appreciate advice on what sort of proofs/documents did they request you to "explain where it came from". It might get handy to get them all ready in advance.
From my experience it was just screenshots of my exchange accounts. It may be different for each person though.
Screenshots of what? I mean, the deposits? The trades? The withdrawals?
It is because you sent the funds directly from one exchange to the other? What if you had sent from your hardware wallet instead? Hmmmm