As we speak, though they've had problems with downtimes in the past, BitMEX is still the best in terms of reputation and liquidity. Well, probably unless you're from the United States(if I remember correctly US residents aren't allowed to use BitMEX).
Though of course, BitMEX is a huge ass exchange hence it's a huge ass target for hackers so don't unnecessarily leave funds there.
All of their funds are kept in cold storage. When you make a deposit its sent to a 3BMEX.... address which is multi-sig. And the owner+essential workers there need to sign it manually everyday to process the withdraws. Hence even if some hacker did hack their site, they wouldn't be able to steal any of their funds.
Do they even have a hot wallet? Whenever I get a deposit, its always from someone's elses deposit address. And those deposit addresses are all kept on cold storage. Hence why its the largest volume exchange for years and they were never hacked, not even their hot wallet. So their security is pretty tight and I wouldn't worry about it.