Aggregators Versus Direct Venues on Identical Pairs

An aggregator quotes across venues and routes your order to the best. It also takes a fee for doing so. Whether that trade is good depends on the pair.

Method

Capture the aggregator quote and the direct quote at the venue it claims to route to, within the same minute, at the same size. Repeat across pairs of different liquidity.

The comparison is only valid inside a narrow time window, which is the main practical difficulty.

What I found on deep pairs

On major pairs, the direct quote at a large venue was usually at least as good as the aggregated one. The aggregator’s search found little to improve on, and its margin was a straight addition.

This is the expected result. Where one venue holds most of the liquidity, there is nothing to aggregate.

What I found on thin pairs

The ordering reversed. On pairs split across several small venues, the aggregated quote beat every individual direct quote I captured, by more than the aggregator’s margin.

The search was doing real work: no single venue had the depth to fill the order well.

The hidden cost of routing

An aggregated order that splits across venues pays costs at each one. On chains where each leg carries a network fee, that multiplies.

Aggregators that show one number are netting this internally. Whether they net it in your favour is not visible.

The failure mode

A routed order that partially fills and leaves a remainder somewhere unexpected. This is rare and it is unpleasant, and it is a reason to prefer a single venue for anything operationally important.

When to use which

Deep pair, ordinary size: direct, at a venue you already hold an account with. Thin pair or unusual asset: aggregator, accepting its margin as the price of finding liquidity.

Large size on any pair: neither, usually. Collect & Exchange, where the quote holds for the whole amount is a third option that removes the routing question entirely.

What to verify either way

That the quote you accept is the price you get. Somewhere the quoted rate is the rate applied is a stronger guarantee than a tight indicative quote, and platforms that show slippage before confirmation let you tell the difference before committing.