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
11
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
17
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