Study shows Covario’s aggregated liquidity prices more competitive than major CEXs

Covario AG
4 min readMar 21, 2022
[Source: Covario AG] Covario’s aggregated liquidity offering showed significantly and consistently smaller spreads

For Immediate Release

Zug, Switzerland — Covario, a crypto prime brokerage based in Switzerland’s Crypto Valley, unveils breakthrough progress towards mitigating slippage in cryptocurrency trading.

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

The results summarized in the above chart show 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.

The chart was obtained from data recorded during the first week of March 2022, using the methodology described below. In the figure, the spreads are medians over the samples for a trade size of 1M USD notional.

Key Observations

The findings revealed that Covario’s executable bid/offer spreads were unrivalled. Comparatively:

  • Covario’s executable spreads exhibited a mostly flat structure for different trade sizes up to a few million USD notional, including for less liquid tokens. The flat structure is also observed at the 90% percentile, meaning the pricing is consistent across different trade sizes and as well as in the tails of the distributions. This enables the capture of liquidity without necessarily resorting to slicing algorithms for medium-sized trades.
  • There is 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 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 the following plot showing the quantiles’ dispersion.
[Source: Covario AG] 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 done for sizes ranging from 100k to 1M+ USD notional.

The spreads for Covario pricing were obtained from real-time quotes with 5min sampling frequency, 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 quote the different quantiles over the entire sample for illustrations.

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 1min intervals. 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.

Luis Fernández, Head of Quantitative Research at Covario, commented: “Covario’s efforts bring us one step further in mitigating execution slippage across tokens, and in different market regimes. We are able to achieve this through our trading platform’s deep liquidity being connected to the major centralized exchanges and the world’s largest liquidity providers, positioning Covario to better serve the demands of institutional investors.”

Covario’s crypto trading platform, accessible via web browser or desktop app, 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 major 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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