Cryptocurrency exchange is where the buying and selling of the crypto happens. As the market rises or sinks the worth of the currency increases or decreases. This all is based on the supply and demand from the users. 

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There is not one place where a user must exchange their crypto, as there are many different websites, and this is really based upon personal likings. Usually the transaction speeds are the same within the websites, so this is not something you need to focus upon when choosing where to sell or buy your crypto. You should look at the different factors such as the fees of the company / website, the transaction possibilites, and how trustworthy the website seems.