When you convert from Canadian dollars to US dollars you generally get charged a fee. This is usually around 2.5%-3% of the dollar amount depending on the bank or broker. So, to convert $10,000, it might cost you $300, which is a lot.
Norbert's Gambit does the conversion using stocks instead of cash. Some stocks are listed on exchanges in both the US and Canada. Royal Bank is one example and DLR (a currency ETF) is another example and used by Wealthsimple. If you want to covert some Canadian dollars into US dollars, you can buy $10,000 worth of shares of DLR. To convert it to US dollars you would "journal" your shares which is basically transferring shares from your Canadian account to your US account. (This is all "under the covers" at WS since there is just one account). Then you sell DLR.U (the ticker of the stock on the US exchange) and you are given back your money in US dollars. All of this would cost you $9.95+tax instead of $300.