As my experience, I think that there is no safest exchange, nothing connected with internet is completely safe. Obviously every exchange has its own potential and its up to everyones feeling that which is much suitable with them, and you have yours. I suppose you to pick some famous exchange, which has a large number of people pays attention on it like binance, bittrex,kucoin and the like. But first and foremost, dont be too hurried to choose them, let take some research about it in order that you have information and then make a decision. In a short, I advise you to try to use some popular exchanges.
There has never been a safe exchange and no one can dispute that fact, but the only thing is that in between all the risks, you just have to find a way to manage those risks and be able to get safe. In that case, you really do not want to be putting more than you can lose on an exchange except your trading funds and considering the fact that you do not have control over your wallet, also you do not want to be using only one single exchange, as sometimes, it is always a good thing to spread the risks and most of all, you really want to be taking advantage of all the additional security features on the exchange.
At least, when it comes to making use of different exchanges, you can easily trade on one platform with your API of those exchanges without having to log in every time on all the exchanges.