Study: Covario’s aggregated liquidity spreads proved robust through the May storm

Covario’s executable bid/offer spreads remained tight despite recent crypto market turmoil, demonstrating the benefits of liquidity aggregation and significantly outperforming centralised exchanges (CEXs)

Covario AG
4 min readMay 18, 2022
[Figure 1] Obtained from data recorded during the recent crypto storm (May 3rd to May 12th 2022), Covario’s aggregated liquidity offering showed significantly and consistently smaller spreads

For Immediate Release

May 2022, Zug — According to a study by our quantitative research team, Covario’s aggregated liquidity offering showed significant and consistently smaller spreads for a range of tokens, compared to the spreads observed on industry-leading centralized exchanges (CEXs).

Figure 1 shows the comparison of the observed spreads for Covario aggregated liquidity versus those of a list of CEXs. The advantage of Covario’s pricing is clear for the largest cap tokens and increases dramatically for smaller market cap tokens. Obtained from data recorded during recent market volatility covering the period from May 3rd to May 12th 2022, the figure uses the methodology described below. In the figure, the spreads are medians over the samples for a trade size of 500K USD notional. This size was chosen to gauge the liquidity of a sizeable order in these market conditions, yet not being too large to prevent a fair comparison with a market taker on CEX exchanges. The purpose is to highlight the benefits of aggregated liquidity with high-level execution urgency, as opposed to executing over a longer time horizon using an execution algorithm.

The following Table summarizes Covario spreads during the observation period.

Key Observations

Covario’s executable spreads exhibited a mostly flat structure, despite the volatile markets, including for less liquid tokens. This enables the capture of liquidity without necessarily resorting to slicing algorithms and the ability to execute sizeable orders over short time horizons

― There is a clear spread gain in using Covario’s aggregated liquidity as the difference with respect to CEXs increases as the individual token market cap decreases

Covario’s spreads have much smaller dispersion (Figure 2) when looking at the difference between the 90% and 10% quantiles of the spread distributions. This is most observable for smaller cap tokens in this study, as shown in Figure 2 showing the quantiles’ dispersion

[Figure 2] Covario’s spreads have much smaller dispersion when looking at the difference between the 90% and 10% quantiles of the spread distributions


All spreads are normalized to a mid-price/quote reference.

The list of tokens considered in this study are ADA, BTC, DOT, ETH, LINK, SOL, and XTZ using their USD quote currency. The study was performed using an equivalent 500k USD notional.

The spreads for Covario pricing were obtained from real-time quotes with 1 to 15 min sampling frequency depending on the token’s market cap, providing best execution via combining an internal execution system with external liquidity providers. The spreads are then inside markets of the aggregated liquidities, and we obtain the different quantiles over the entire sample.

For the CEX spreads, we used a list of major venues such as Bitfinex, Bitstamp, Coinbase, and Kraken to have a representative set of exchanges with different liquidity profiles. The determination of the relevant spreads was derived from data sampled at 1 to 5 min intervals depending on the token’s market cap. For each centralized exchange, we determine the execution price with slippage for each size and each direction, buy and sell, by simulating the execution of a market order eating up the order book up to the requested trade size. The buy and sell prices are then used to derive the spread. In order to get a simple indicative spread across exchanges, we then pool all measures together while filtering for outliers and compute the desired quantiles.

The spread figures are all excluding the fees from the centralized exchanges and excluding Covario fees. This is to ensure full transparency and guarantee a uniform treatment of the different venues, as fees usually are turnover-dependent, thus client specific, and not necessarily comparable.

Covario’s crypto trading platform allows users to set and adjust minimum to maximum slippage tolerance.

Contact our team to learn more:

Covario’s services give institutional investors access to the deep liquidity and wide variety of assets offered by the integration of 20+ crypto exchanges, 8 of the largest market makers and major lenders in combination with a highly secured MPC/Multisig based custody solution. Covario has also recently expanded its offering by the inclusion of new services such as derivative instruments trading and DeFi platforms (DEXs) access. Covario services are accessible by chat directly with our trading desk, API or a dedicated web portal and desktop application.

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About Covario AG

Covario is an award-winning Swiss-based Crypto Prime Brokerage founded in 2019. Covario’s Prime Brokerage platform is a holistic solution for digital asset trading, algorithmic trading, clearing, financing and custody for institutional clients. Backed by a team of professionals with deep experience and understanding of institutional financial services, Covario’s offering combines asset protection and global reach with operational ease and efficiency. Visit:

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