Sets automatically source spot liquidity from Kyber Network initially to mint new Sets using ETH. There is no need to hold the underlying tokens or wrap Ethereum to buy a Set.
The Kyber price displayed on TokenSets for buys and sells is the aggregate price of Kyber Network’s rates for the underlying component tokens.
Because market prices may change, there is the concept of slippage, the difference between market price and actual executed price. TokenSets utilizes a Custom Rate, or the absolute worst price that you can receive on trades to protect you from losing too much to slippage.
Most of the time, you will receive the market price, and at the end of the transaction receive close to 3% of the ETH that is not used back in change. If the price is worse than the Custom Rate, the transaction will revert and the trade will be cancelled.
This mechanism is in contrast to other exchanges where you are shown the best price with no guarantee of the max slippage.
This is the price that is displayed on top in the Buy and Sell modals and may be higher than the market price.
Learn more about how Kyber works: https://kyber.network/