Because AXNET DEX trades in real time and then mines the transactions afterwards, it is possible for trades to be dependent on other trades mining first. This means that one trade going slow could hold up many other trades and cause the exchange to essentially break. Therefore we set the gas price to ensure trades are able to mine in a reasonable amount of time.
For example if I deposit AXN and sell it for ETH and then buy BNB with that ETH right after, my BNB buy can only mine once the AXN sell has mined. Say I did those 2 trades with a low gas price and the person I bought AXN from then goes and takes that ETH to buy some REP and the guy who sold his REP is in a hurry to withdraw. That guy must now wait for both of my trades to mine before his trade can mine and he can withdraw.
The problem is that there are many conflicting goals with our users. Some want fast trades, some want to withdraw asap and some want to save as much money as possible on gas. If we allow users to broadcast with a low gas price it can cause a chain reaction that holds everything up, essentially breaking the exchange so that nothing gets mined.
We dynamically use Ethgasstation's fast setting + 2 to set our gas price in real time. In the future we plan to make an in house tool to optimize this gas price.
We have a feature in the works that will allow users to lower the gas price of their withdrawals down significantly. However, we will not rebroadcast their transactions, so they will have to deal with however long it takes to mine.