I signed up for Alby and it gave me a lightning address. I tried two separate exchanges to switch from Ethereum (it's what I have) to lightning BTC so I could zap people. Everything said my LN address was bad. I have gotten zaps so it maybe works? But multiple sites said it was no good. onramping to BTC is hard for me because of KYC problems with my license.

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I have never seen a CEX support lightning addresses. you have to generate an invoice in your lightning wallet for the exact amount you wish to withdraw or slightly less, and paste the invoice into the CEX