Edit: Removing.
Welcome to the unsavory world of adtech ...
There's a limited amount of information they can harvest with cookies alone, but if you're concerned, the easiest thing to do is to use a seperate browser - inside a sandbox program, ideally - to access the RTB platforms. Then do everything else - tracking etc - in another browser.
Having said that, I wouldn't be TOO concerned. The reason that Google and Facebook can do so much tracking with cookies is that they've got their javascript installed on a massive number of websites worldwide. On its own, a cookie's just a piece of text with no programmatic functions (unless there's a really clever hack that you can do with them, but at that point we're into the realms of Actually Illegal Stuff, and most RTBs aren't going to do things that might get their board put in prison.)
I don't think the OP is necessarily concerned about his identity being tracked on RTB platforms and exchanges. The issue is more about his audiences and impressions being tracked so that third parties can build cookie pools and segmented audiences on his data, while he pays them for the privilege.
Edit: Removed.
Edit: Removed.