HUPX Intraday Market Workshop

HUPX Intraday Market Workshop Workshop agenda 13:00-13:30 Arrival and networking 13:30-13:45 Welcome 13:45-14:45 HUPX Intraday Market design, p...
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HUPX Intraday Market Workshop

Workshop agenda 13:00-13:30

Arrival and networking

13:30-13:45

Welcome

13:45-14:45

HUPX Intraday Market design, products and trading with examples György Istvánffy – HUPX Ltd. Head of Operations and Market Development HUPX IDM volumes and prices Trading process Reasons for intraday trading Useful trading system functionalities + Demo

14:45-15:00

Coffee break

15:00-15:35

HUPX Intraday Market post trade processes Benjamin Machos – HUPX Ltd. Market Operation Clearing and settlement Scheduling process Member reports Publication of trading results

15:35-15:45

Prices and Discounts / How to join the market Júlia Lobenwein – HUPX Ltd. Head of Sales

15:45-16:00

Frequently asked questions and HUPX answers HUPX Market Operation

2

Hungarian Power Exchange Intraday Workshop György Istvánffy 2016.11.28

Agenda

Market design

Volumes & Prices

Trading activity

Market share

Reasons for Intraday trading

Useful trading system functionalities + Demo

4

Market Design Trading System Deutsche Börse M7 trading platform State-of-the-art v4.2.3

API Trading is possible through trading platform and API Automatic trading through unique programs is available

XBID EU internal energy market M7 compatible with the XBID project

Trading session opens: D-1 at 15:45

Gate Closure: 120 min before Delivery

Delivery

5

Products

Base product

Block products

In line with the TSO nomination unit Quarter hourly

15 min

Predifined blocks: Hourly Block

1 hour

Peakload Block

12 hours

Baseload Block

24 hours

User defined block - UDDP: Any contiguous product combinations of base products

6

Products

Traded products

Traded volume by products

User Defined Block; 1; 0%

Quarterly 8%

User Defined Block 1%

Hourly Block; 513; 48% Quarterly; 566; 52%

Hourly Block 91%

Hourly and Quarterly products are traded around the same times but User defined blocks are not widespread

7

HUPX Intraday Volumes

HUPX Intraday monthly traded volumes

HUPX Intraday Traded Volume

4000

1200

3500

1000

3000

800 MWh

MWh

2500 2000

600

1500

400

1000

200

500

0

0 Mar

Apr

May

Jun

Jul

HUPX

OTC

Aug

Sep

Oct

Nov Quarterly

Hourly Block

OTC

Maximum daily volumes reached 957 MWh on 21st October Monthly volumes have significantly increased

Maximum daily OTC volumes reached 1017 MWh on 17th November 8

Euro

Price-average of quarterly trades Minimum of quarterly price

24qh2

23qh3

22qh4

22qh1

21qh2

20qh3

19qh4

19qh1

18qh2

17qh3

16qh4

16qh1

15qh2

14qh3

13qh4

13qh1

12qh2

11qh3

10qh4

10qh1

9qh2

8qh3

7qh4

7qh1

Traded volume - Quarterly

6qh2

5qh3

0 4qh4

20

4qh1

40

3qh2

60

2qh3

100

1qh4

80

Number of trades

120

1qh1

24qh2

23qh3

22qh4

22qh1

21qh2

20qh3

19qh4

19qh1

18qh2

17qh3

16qh4

16qh1

15qh2

14qh3

13qh4

13qh1

12qh2

11qh3

10qh4

10qh1

9qh2

8qh3

7qh4

7qh1

6qh2

5qh3

4qh4

4qh1

3qh2

2qh3

1qh4

1qh1

MW

Quarterly Analyses

Number of trades - Quarterly

40 35 30 25 20 15 10 5 0

Intraday prices - Quarterly

100 90 80 70 60 50 40 30 20 10 0

Maximum of quarterly price

9

Hourly Analyses

Traded volume - Hourly

Number of trades - Hourly 60

600

50

Number of trades

700

MW

500 400 300 200

40 30 20 10

100 0

0 1

2

3

4

5

6

7

8

9

10 11 12 13 14 15 16 17 18 19 20 21 22 23 24

1

2

3

4

5

6

7

8

9

Hourly product

10 11 12 13 14 15 16 17 18 19 20 21 22 23 24

Hourly product

Intraday prices - Hourly 90 80 70

Euro

60

50 40 30 20 10 0 1

2

3

4

5

6

7

8

9

10

Price-average of Hourly trades

11

12

13

Minimum of Hourly price

14

15

16

17

18

19

20

21

22

23

24

Maximum of Hourly price

10

Trading Activity

Traded volume during the day

Number of trades during the day 1800

250

200

Traded volume

Number of trades

1600

150

100

1400 1200

1000 800 600 400

50

200 0

0

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24

Hour

Hour

Trades are only concluded during working-hours, traders do not seem to be prepared for 24/7 trading

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HUPX Intraday Market Share

Market share on buyer side

Market share on seller side

Others 24%

Others 23%

​ 38%

​ 39%

​ 9%

​ 11%

​ 12% ​ 17%

​ 11%

​ 16%

16 traded out of the 28 members

15 traded out of the 28 members

3 members traded the 68% of the total sell volume

3 members traded the 65% of the total buy volume

HHI = 2112

Moderate concentration

HHI = 2083

Moderate concentration 12

Reasons for Intraday Trading

Advantages of intraday trading

Ramping

Outages

Forecast error

Flexibility

Hourly nominated DAM andcorrection load profile in IDM case ofload outages DAM DAM and and load load profile profile with IDM trading Hourly nominated DAMadditional andwith load profile Hourly nominated DAM and load profile 160,00 160,00 160,00

140,00 140,00 140,00

MW

MW MW

120,00 120,00 120,00

100,00 100,00 100,00

80,00 80,00 80,00

60,00 60,00 60,00

1

2

3

4

55

66

77

88

99

10 10

11 11

12 12

13 13

14 14

15 15

16 16

17 17

18 18

19 19

20 20

21 21

22 22

23 23

24 24

13

Reasons for Intraday Trading

Load and DAM

Cost reduction by intraday trading

788,8 €

Cost of balance energy

-780,2 € „Cost” of imbalance reduction on intraday

8,62 € 14

Reasons for Intraday Trading

Hourly nominated DAM and load profile in case of outages 160,00

Outages

MW

140,00

120,00

100,00

80,00

60,00

Cost reduction by intraday trading

17242 €

Difference [MWh]

1

2

3

4

5

6

7

8

9

10

11

12

13

14

15

16

17

18

19

20

21

22

23

24

6,00 1,00 -4,00 -9,00

Cost of balance energy 30385 €

Cost of balnce energy [EUR]

-14,00

300,00 100,00 -100,00 -300,00 -500,00 -700,00 -900,00 -1100,00 -1300,00 -1500,00

Cost of imbalance reduction on IDM 13143 €

Cost of IDM purchase [EUR]

200,00 100,00 0,00 -100,00 -200,00 -300,00 -400,00

15

API (Application Programming Interface)

Possibility to trade automatically through the frontend trading

system via API Unique program for automatic trading

API

Single development costs Reference client is available from HUPX as a template for development Contact HUPX MO for providing it

16

API (Application Programming Interface)

Advantages of API

executed trades Number of of quarterly executed trades trades Number 200 200 80 180 180 70 160 160 60 140 140 50 120 120

Period of rush trading hours doesn’t overlap the ramp up period

100 40 100

80 80 30 60 60 20 40 40 10 20 20 000

It is caused by trading activity

111

222

333

444

555

666

777

888

999

10 10 11 12 13 14 15 16 12 13 13 14 14 15 15 16 16 10 11 11 12

17 17 17

18 18 18

19 19

20 20

21 21

22 22

23 23

24 24

Hourly nominated nominated DAM andand loadload profile Hourly DAM and load profile Hourly nominated DAM profile

Automated trading via API can reduce balancing cost

160,00 160,00 160,00

And generates extra income (without transaction fee)

MW MW MW

140,00 140,00 140,00 120,00 120,00 120,00 100,00 100,00 100,00 80,00 80,00 80,00 60,00 60,00 60,00

1111

222

333

444

555

666

777

888

9999

10 10 10 10

11 11 11

12 12 12

13 13 13

14 14 14

15 15 15

16 16 16

17 17 17

18 18 18

19 19 19

20 20 20

21 21

22 22

23 23

24 24

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Basket Function

General description The Basket panel enables the entry of several orders at once into the system. The sum of orders which are currently displayed in the Basket panel is referred to as „basket”. A basket can be submitted with a joined submission restriction which is valid for all orders inside the basket. Orders in the basket are not active orders, never visible on the Market Overview panel

18

Basket Function

Submission restrictions The submission restriction can be selected in the lower left of the Basket panel:

All orders in the panel are submitted with one of the following joined submission restrictions: None: Orders in the basket are treated as independent orders. An invalid order (e.g. an order submitted on an expired contract) will not lead to the rejection of the complete basket. Valid: All orders in the basket will be validated before they are submitted to the system. If one order is invalid (e.g. an order submitted on an expired contract), no order of the basket will be submitted. Linked: Either all orders can be executed or no order will be executed. A basket can only be submitted with this submission restriction if it contains only orders with the execution restriction FOK (fill-or-kill). 19

Basket Function Basket Actions A user can perform order action for existing orders by selecting one or more orders (depending on the action) and clicking an order action button. More than one order can be selected by holding the ctrl key and left clicking on multiple orders.

The basket actions can be selected in the lower right of the Basket panel: Switch all to FOK Cancel

Add Clear

Modify Submit

20

Basket Function

Import Order import to a basket can be done by importing a prepared .csv into ComTrader When clicking “Import from CSV file”, a file chooser menu will open where the user can select a prepared .csv file to upload. All orders in the file will then be added to the basket. Column headers must be part of the import file, while the order of columns is not relevant. Each steps of importing a CSV file will be presented now

21

Cross-Product Matching

Matching of block products with single contract orders In case of cross-product matching, the system can execute one block product on one side against multiple 15 min orders on another side only if: Execution Restriction allows the execution based on available quantity

Average price of multiple 15 min orders is equal or better than the limit price of the block order

Quarterly 1

Block product

Quarterly 2 Average Price= (Price1+Price2+Price3+Price4)/4 Quarterly 3 Quarterly 4 22

Cross-Product Matching

Example:

Contract

Buy

H12Q1

100 MW – 20 €

H12Q2

120 MW – 25 €

H12Q3

80 MW – 15 €

Average price: 20 (for Qty 80) is better than limit price 15

H12Q4

90 MW – 20 €

Result: Orders are executable

H12-13

Ask

80 MW – 15 €

If the orders get matched, the system creates trades for each involved order and defines execution price based on limit price of 15 min orders Execution price of block orders is defined by average execution price on another side

Example:

Contract

Buy

H12Q1

100 MW – 20 €

20 €

H12Q2

120 MW – 25 €

25 €

H12Q3

80 MW – 15 €

15 €

H12Q4

90 MW – 20 €

20 €

H12-13

Ask

80 MW – 15 €

Execution Price

20 €

23

Implied Price Calculation Rules

This function is used to display implied orders in the Market Overview panels The purpose of this type is to compare prices of a commodity with the same delivery period but in different products Example: HUPX has 1h and 15m contracts. A trader who wants to sell power from H14-15 might want to know if it'd be better to sell power in the hourly contract or in each 15 min contract. For this he/she can enter a rule in the "Implied Price Calculation Rules" panel which displays the current buy price for power in the four 15 minute contracts (H14Q1, H14Q2, H14Q3, H14Q4) directly in the Market Overview panel in the contract H14-15.

24

Implied Price Calculation Rules

In order to do this:

1. Open the Implied price Calculation Rules panel 2. Click Add 3. Select "Product Family Implied Prices" 4. Select the Underlying Product „Quarterly" (the underlying must always be the smaller, marked with blue) 5. Select the Target Product „Hourly Block„ (marked with golden

6. The panel will then be filled with all combinations of active 15m contracts, which cover exactly one delivery period of all active target contracts 7. The trader then selects the combination of H14Q1-H14Q4 which covers the hourly contract H14-15. 25

Implied Price Calculation Rules

8. Now he adds the contract 14-15 to the Market Overview panel

9. Whenever there are either 4 buy or 4 sell orders entered for each of the contract H14Q1 to H14Q4 (see below), an implied order will be displayed in the market Overview panel which has the minimum tradable quantity and average price in all four contracts (marked with red)

26

Market operation contacts: E-mail: [email protected] Tel.: (+36) 1 304 1092

THANK YOU FOR YOUR ATTENTION!

27

Backup Slides

28

Trading Process

Non-stop trading 24/7, all year round

Order book opening IDM trading session opens D-1 at 15:45 with all 96 base products

Gate closure time 120 minutes before physical delivery for a transitional period (then 90 min, closer to delivery) 1. ECC trade processing and nomination 60 min 2. TSO procedures 60 min Every 15 minutes a product expires Trading session opens: D-1 at 15:45

Gate Closure: 120 min before Delivery

Delivery

29

Product Availability

Product Lifecycle (Number of Base Products available on screen) D

D-1

96

96

120

24

15:45

22:00

24:00

15:45

22:00

24:00

All products of the next delivery day appear on screen at 15:45 D-1 Last product of the actual delivery day expires at 21:45 D The first product phases out at 22:00 D-1 30

Mistrade / Trade Recall

Mistrade key info Trade recall is possible in case of mistrade Available 7/24

Mistrade is penalized with 3.000 EUR mistrade fee (OMC opinion)

3.000 € for the partner who made the mistrade Within 15 min after trade execution At latest 15 min before gate closure

Trade recall process Mistrade made by Trader 1 in deal with Trader 2

Trader 1 initiates the recall

MO accepts the recall if Trader 2 approves via email

31

OTC Process

OTC trade registration for clearing key info ECC handles financial settlement daily Can be submitted to the system by:

Both Traders and MO can submit OTC deals to the trading system

Trader1 and accepted by Trader2 HUPX MO on behalf of a trader No recall is possible for an OTC trade

OTC trade registration process Trader 1 and 2 conclude OTC trade

Submit to M7 by Trader 1

Trader 2 approves the deal in the system

32

Clearing and Settlement on HUPX Intraday Market Benjamin Machos 2016.11.28

Agenda

Clearing and settlement

Scheduling process

Member reports

Publication of trading results

34

Clearing and Settlement

35

Nomination Transactions are nominated by ECC on behalf of HUPX to MAVIR MEK system on the balance responsible perimeter designated by the member. Double-sided nominations are required currently HUPX has priority in case of inconsistency

MAVIR to manage and guarantee delivery through balance circle system. HUPX ID EIC code: HUPX Balance Circle name:

15X-HUPX-ID----A HUPX-ID-BC

Nomination opens for D day on D-1 at 17:00 (different from trading session opening time D-1 at 15:45) Reserve market operation same as before. Mandatory for all Power Plants. IDM transactions, DAM transactions and physical futures transactions are nominated to different EIC codes!

Daily financial settlement process Pre-trade financial limit key info

Limit set by CMs of the traders through ECC

Theoretical option to change available limit on a daily basis

Trading gate closure

Trading

D-2h

Daily limit reset at 16:00 CET on ECC business days (Target 2)

Open positions accumulate on Weekends and Holidays until booking cut with financial settlement (next business day) Financial settlement (on business days)

Delivery

D-1h Nomination deadline

D

16:00 ECC booking cut (before business days)

08:00

Scheduling process After you have concluded a trade…

38

Scheduling process …please follow the lifecycle of the trade: Own Overview / Own Trade / StlmntState INIT –> SNDG –> SENT –> ACKN: TO BE NOMINATED INIT –> SNDG –> SENT –> INFO: clearing problem DO NOT NOMINATE (please contact Market Operations)

39

Trade status information In case of trade recall (mistrade) and StlmntState is ACKN: RREQ (recall requested) – temporary status, the trade may be later changed to RGRA or RREJ RREJ (recall rejected) – TO BE NOMINATED RGRA (recall granted) – DO NOT NOMINATE, removed from Own Trade list

Temporary status

The recall is rejected, the trade needs TO BE NOMINATED

7

Primary source of information for nomination (ECC reports) Trades which need to be nominated are covered by ECC reports ECC reports can be downloaded through ECC Member Area – real-time update – max.15 min. delay Detail Reports contain all individual transactions in accordance with the filter criteria of the report (e.g. all transactions of the respective trading day in a Spot Trade Report) TITLE

CONTENT

TIMING

Spot Trade Report

all Spot Market transactions (DayAhead and Intraday) per trading day

daily distribution by ECC around 17:00 or manual download by members at any time

Delivery Report

all Spot Market transactions as well as delivery instructions from expired future positions per delivery day

daily distribution by ECC around 08:00 for D-1 or manual download by members at any time

ECC reports shall be handled as the primary source of information for nomination!

8

Publication of trading results

Available BOSS Trade reports on SFTP

SFTP Reports

Coming soon: Market Maker Report

9

HUPX Website publication

New HUPX ID tab under Market Data

Quarterly and Hourly reports The data of the reports refreshes every 15 min Summary report The next tradable 8 products closest to the delivery

10

HUPX Website publication

For more information log in to the page with your e-mail and password Contact details: Portal user as described on document D04c Password is sent via e-mail, and can be changed on the page under forgotten password Download the trading system after login Main Toolbar/Trading at HUPX/Trading Systems

Regarding access rights contact: [email protected]

11

THANK YOU FOR YOUR ATTENTION!

HUPX Intraday market operation contacts: E-mail: [email protected] Tel.: (+36) 1 304 1092

45

Prices and Discounts How to join the market Júlia Lobenwein 2016.11.28

Agenda

Admitted Members

Fee holiday

Admission process

47

Admitted members

29 Members HUPX IDM - Number of Admitted Members - 2016

29

30

25 20 15 10 5 0

48

Intraday market newsletter Monthly published via e-mail Available for the admitted members

Main topics: Power plant outages

HUPX ID Market results News and events

49

Fee holiday

All companies which join any HUPX market between 1st October 2016 and 31st March 2017 shall be exempt from paying the one-time entrance fee of EUR 15 000

From 1st October 2016 for those members who are

only members on the HUPX Intraday Market, the entrance fee and the annual fee is not applicable 50

Admission process

51

THANK YOU FOR YOUR ATTENTION!

52

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