Study: Covario’s liquidity aggregator provided consistently tight spreads across a vast range of tokens even during the recent market turmoil

The executable spreads offered by Covario remained tight despite the extreme market condition, extending the benefits of liquidity aggregation to a wide range of tokens

Covario AG
4 min readMay 19, 2022
[Figure 1] Obtained from data recorded during the recent crypto market upheaval (May 3rd to May 12th 2022), Covario’s aggregated liquidity offering showed significantly and smaller spreads across an extended list of tokens

May 2022, Zug — We extend our previous study during the recent May events and show Covario’s aggregated liquidity for a wider range of tokens, and compare these spreads to the observed ones 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 the 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 100K USD notional. This size was chosen to accommodate less liquid tokens with smaller market caps in the cross-token study in a comparable way and to enable a fair comparison between an immediate execution through our liquidity pools and the urgency of a market taker order on CEX exchanges.

Key Observations

Covario’s executable spreads exhibited a consistent flat structure, despite the volatile markets, including for less liquid tokens.

― The spread gain in using Covario’s aggregated liquidity is significant compared to CEXs for the majority of tokens, with a few exceptions where the differences are marginal.

― The data reveals that even in volatile markets, Covario offered exceptionally tight spreads for the most liquid tokens and approximately 20 bps spreads for most of the mainstream tokens.

The following table shows Covario’s spreads over the study period (sample medians):

[Table 1] Covario’s spreads from May 3rd to May 12th 2022


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

The list of tokens considered in this study are AAVE, ADA, BTC, COMP, DAI, DOT, ETH, FTT, GRT, KSM, LINK, MANA, MATIC, MKR, SAND, SOL, SUSHI, UNI, XTZ, YFI using their USD quote currency. The study was performed using an equivalent 100k USD notional.

The spreads for Covario pricing were obtained from real-time quotes with 1 to 15min sampling frequency depending on the token’s market cap, providing best execution by 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 with slippage for the desired 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.

Contact our team to learn more:

Covario’s platform gives institutional investors access to deep liquidity and a wide variety of assets offered through the integration of 20+ crypto exchanges, 8 of the largest market makers and the major lenders and staking services in combination with a highly secured MPC/Multisig based custody solution. Covario has also recently expanded its offering withthe 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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