HEnEx s Spot Markets Trading Rulebook: Intra-Day Market Operations
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1 Friday July 20th ΟΤΕAcademy, Athens HEnEx s Spot Markets Trading Rulebook: Intra-Day Market Operations Dr. Nikolaos P. Ziogos
2 Introduction CACM XBID Participation in ID Market LIDAs GRIDAs XBID Results ID Market Interaction ID-BM 2
3 Commission Regulation (EU) 2015/1222 established a Guideline for Capacity Allocation and Congestion Management (CACM) Single Intra-Day Market Coupling = Continuous Trading = XBID (DBAG) + a single methodology for pricing intraday cross-zonal capacity that shall reflect market congestion and be based on actual orders ( the Pricing of Intraday Capacity ). Article 63, paragraph 2 CACM: Complementary Regional Intra-Day Auctions 3
4 LIPs part of 1 st go-live 12 June 2018 LIP Participants 1 Nordic Fingrid, EnDK, SvK, Statnett, Nord Pool, EPEX 1 2 Kontek EnDK, 50Hz, Nord Pool, EPEX 3 DK1/DE, DE/NL EnDK, TenneT NL& DE, Amprion, EPEX, Nord Pool NorNed FR/DE, DE/AT Statnett, TenneT NL, EPEX, Nord Pool Amprion, TransnetBW, APG, RTE, Swissgrid, EPEX, Nord Pool, Tennet DE NL/BE FR/BE FR/ES& ES/PT Baltic Elia, TenneT NL, EPEX, Nord Pool RTE, Elia, EPEX, Nord Pool RTE, EPEX, OMIE, REE, REN, Nord Pool Elering, Litgrid, AST, Fingrid (Estlink) Svenska Kraftnät (NordBalt), Nord Pool LIPs going live at a later stage LIP Participants 7 BritNed BDL, NG, TenneT NL, EPEX IFA AT/CH INB RTE, NG, Nord Pool, EPEX APG, Swissgrid, EPEX ADMIE, APG, ELES, RTE, Swisgrid, Terna, BSP, EPEX, EXAA, GME, LAGIE, Nord Pool LIP14 go-live = end Q2 2019? 4
5 Introduction CACM XBID Participation in ID Market LIDAs GRIDAs XBID Results ID Market Interaction ID-BM 5
6 Position correction after the Day-Ahead Market View as an extension of Day-Ahead fine tuning For updating the trading position based on risk profile as approaching to real-time, as in case of power plant outages or changes in demand Submit more accurate short-term forecasts for Renewable Energy Resources (RES), such as solar and wind Profit from flexible sources of generation and load management Reduce the imbalances and the financial exposure to the Balancing Market 6
7 Optional Participation Submission after the Day-Ahead gate closure in D-1 and D Unit-based Market Two Phases approach: 1 st Phase: Local Intra-Day Auctions (LIDAs) 2 nd Phase: Complementary Regional Auctions (CRIDAs) and Continuous Trading (XBID) In case of introducing Pan-European Intra-Day Auctions (PEIDAs), the CRIDAs will align with the PEIDAs. 7
8 Producers Conventional Units RES Producers RES Aggregators Load Representatives for Non-Dispatchable and/or Dispatchable Load Portfolios Traders, Load Representatives having acquired explicit Intra-Day Physical Transmission Rights in non-coupled interconnections for imports Traders, Producers, Load Representatives having acquired explicit Intra- Day Physical Transmission Rights in non-coupled interconnections for exports TSO submits Priority Price-Taking Orders for RES Units in Commissioning or Testing Operation, Generating Units in Commissioning or Testing Operation, Mandatory Hydro Injections and Transmission System Losses DAPEEP submits Priority Price-Taking Orders for RES&CHP The Priority Price-Taking Orders are submitted only in LIDAs and/or CRIDAs 8
9 Introduction CACM XBID Participation in ID Market LIDAs GRIDAs XBID Results ID Market Interaction ID-BM 9
10 Products in LIDAs: Hourly Products: 24 contracts, one for each hour of the Delivery Day Order Types: Step-wise Orders: price-quantity steps Linear piecewise Orders: only interpolated Orders Priority Price-Taking Sell Orders: simple one-step step-wise Sell Orders with a price equal to the lowest acceptable price at the Intra-Day Market - e Priority Price-Taking Buy Orders: simple one-step step-wise Buy Orders with a price equal to the maximum acceptable price at the Intra-Day Market + e 10
11 Delivery Days and Hours Market Time Unit Gate Opening Time Gate Closure Time Quotation Price Tick Size Min and Max Order Prices Intra-Day Auctions 1 st LIDA: 01:00 D- 01:00 D+1 2 nd LIDA: 01:00 D 01:00 D+1 3 rd LIDA: 13:00 D 01:00 D+1 1 Hour 1 st LIDA: 14:00 D-1 2 nd LIDA: 16:00 D-1 3 rd LIDA: 05:00 D 1 st LIDA: 15:00 D-1 2 nd LIDA: 23:00 D-1 3 rd LIDA: 08:30 D /MWh 0.01 /MWh Minimum volume increment 0.1 MW Administratively Defined 11
12 1 st Phase of Intra-Day Market Local Intra-Day Auctions (LIDAs) Solver: Euphemia provided by HEnEx 12
13 1 st Phase of Intra-Day Market Local Intra-Day Auctions (LIDAs) Solver: Euphemia provided by HEnEx Timing: 1 st LIDA: GOT 14:00 D-1 13
14 1 st Phase of Intra-Day Market Local Intra-Day Auctions (LIDAs) Solver: Euphemia provided by HEnEx Timing: 1 st LIDA: GOT 14:00 D-1 GCT 15:00 D-1 14
15 1 st Phase of Intra-Day Market Local Intra-Day Auctions (LIDAs) Solver: Euphemia provided by HEnEx Timing: 1 st LIDA: GOT 14:00 D-1 GCT 15:00 D-1 Delivery period 01:00 D 01:00 D+1 15
16 1 st Phase of Intra-Day Market Local Intra-Day Auctions (LIDAs) Solver: Euphemia provided by HEnEx Timing: 2 nd LIDA: GOT 16:00 D-1 16
17 1 st Phase of Intra-Day Market Local Intra-Day Auctions (LIDAs) Solver: Euphemia provided by HEnEx Timing: 2nd LIDA: GOT 16:00 D-1 GCT 23:00 D-1 17
18 1 st Phase of Intra-Day Market Local Intra-Day Auctions (LIDAs) Solver: Euphemia provided by HEnEx Timing: 2 nd LIDA: GOT 16:00 D-1 GCT 23:00 D-1 Delivery period 01:00 D 01:00 D+1 18
19 1 st Phase of Intra-Day Market Local Intra-Day Auctions (LIDAs) Solver: Euphemia provided by HEnEx Timing: 3 rd LIDA: GOT 05:00 D 19
20 1 st Phase of Intra-Day Market Local Intra-Day Auctions (LIDAs) Solver: Euphemia provided by HEnEx Timing: 3 rd LIDA: GOT 05:00 D GCT 08:30 D 20
21 1 st Phase of Intra-Day Market Local Intra-Day Auctions (LIDAs) Solver: Euphemia provided by HEnEx Timing: 3 rd LIDA: GOT 05:00 D GCT 08:30 D Delivery period 13:00 D 01:00 D+1 21
22 Upon submission of Sell Orders for Generating or RES Unit for a certain MTU: Net energy quantities already sold in DAM + any net energy quantities already traded in previous LIDA + Submitted Intra-Day Market Sell quantity Available Capacity of said Generating Unit or RES Unit Upon submission of Buy Orders for Generating or RES Unit for a certain MTU: Net energy quantities already sold in DAM + any net energy quantities already traded in previous LIDA - Submitted Intra-Day Market Buy quantity 0 22
23 Upon submission of Sell Orders for Generating or RES Unit for a certain MTU: ISP schedule of a Generating Unit or RES Unit + any already awarded upward FCR, a-frr and m-frr + Any previous accepted Sell Order Any previous accepted Buy Order + Intra-Day Sell Order quantity Available Capacity of Generating Unit or RES Unit The Sell Order shall be curtailed, so that the above sum is exactly equal to the Available Capacity of Generating Unit or the Technical Minimum under AGC, whichever is lower. 23
24 Upon submission of Buy Orders for Generating or RES Unit for a certain MTU: ISP schedule of a Generating Unit or RES Unit any already awarded downward FCR, a-frr and m-frr + Any previous accepted Sell Order Any previous accepted Buy Order Intra-Day Buy Order quantity Technical Minimum of Generating Unit or RES Unit The Buy Order shall be curtailed, so that the above sum is exactly equal to the Technical Minimum or the Technical Minimum under AGC, whichever is lower. If no Reserve Capacity was awarded, then the Buy Order quantity cannot exceed the maximum between previous Market Schedule and ISP schedule. 24
25 Introduction CACM XBID Participation in ID Market LIDAs GRIDAs XBID Results ID Market Interaction ID-BM 25
26 Coupled Interconnection: Italy & Bulgaria Non-coupled Interconnections: Albania FYROM Turkey 26
27 Products in CRIDAs: Hourly Products: 24 contracts, one for each hour of the Delivery Day Blocks: Predefined blocks: aggregation of hourly contracts decided by HEnEX User Defined Blocks: on-demand combinations of contracts defined by the Participant coverable by multiple regular market contracts of the product and with consecutive delivery times. Order Types: Step-wise Orders: price-quantity steps Linear piecewise Orders: only interpolated Orders Block Orders: fixed price limit (minimum price for Sell Blocks and maximum price for Buy Orders), Minimum Acceptance Ratio and an energy volume for a number of MTUs within the Delivery Day Priority Price-Taking Sell Orders: simple one-step step-wise Sell Orders with a price equal to the lowest acceptable price at the Intra-Day Market - e Priority Price-Taking Buy Orders: simple one-step step-wise Buy Orders with a price equal to the maximum acceptable price at the Intra-Day Market + e 28
28 29
29 2 st Phase of Intra-Day Market Local Intra-Day Auction (LIDA) Solver: Euphemia provided by HEnEx Complementary Regional Intra-Day Auctions (CRIDAs) Solver: Euphemia Cloud 30
30 2 nd Phase of Intra-Day Market Local Intra-Day Auctions (LIDAs) Solver: Euphemia provided by HEnEx Timing: LIDA: GOT 14:00 D-1 31
31 2 nd Phase of Intra-Day Market Local Intra-Day Auctions (LIDAs) Solver: Euphemia provided by HEnEx Timing: LIDA: GOT 14:00 D-1 GCT 15:00 D-1 32
32 2 nd Phase of Intra-Day Market Local Intra-Day Auctions (LIDAs) Solver: Euphemia provided by HEnEx Timing: LIDA: GOT 14:00 D-1 GCT 15:00 D-1 Delivery period 01:00 D 01:00 D+1 33
33 2 nd Phase of Intra-Day Market Complementary Regional Intra-Day Auctions (CRIDAs) Solver: Euphemia Cloud Timing: 1 st CRIDA: GOT 16:00 D-1 34
34 2 nd Phase of Intra-Day Market Complementary Regional Intra-Day Auctions (CRIDAs) Solver: Euphemia Cloud Timing: 1 st CRIDA : GOT 16:00 D-1 GCT 23:00 D-1 35
35 2 nd Phase of Intra-Day Market Complementary Regional Intra-Day Auctions (CRIDAs) Solver: Euphemia Cloud Timing: 1 st CRIDA : GOT 16:00 D-1 GCT 23:00 D-1 Delivery period 01:00 D 01:00 D+1 36
36 2 nd Phase of Intra-Day Market Complementary Regional Intra-Day Auctions (CRIDAs) Solver: Euphemia Cloud Timing: 2 nd CRIDA: GOT 05:00 D 37
37 2 nd Phase of Intra-Day Market Complementary Regional Intra-Day Auctions (CRIDAs) Solver: Euphemia Cloud Timing: 2 nd CRIDA : GOT 05:00 D GCT 08:30 D 38
38 2 nd Phase of Intra-Day Market Complementary Regional Intra-Day Auctions (CRIDAs) Solver: Euphemia Cloud Timing: 2 nd CRIDA : GOT 05:00 D GCT 08:30 D Delivery period 13:00 D 01:00 D+1 39
39 Upon submission of Sell Orders for Generating or RES Unit for a certain MTU: Net energy quantities already sold in DAM + Submitted Intra-Day Market Sell quantity Available Capacity of said Generating Unit or RES Unit Upon submission of Buy Orders for Generating or RES Unit for a certain MTU: Net energy quantities already sold in DAM - Submitted Intra-Day Market Buy quantity 0 40
40 Upon submission of Sell Orders for Generating or RES Unit for a certain MTU: Net energy quantities already sold in DAM + any net energy quantities already traded in previous LIDA or CRIDA + Submitted Intra-Day Market Sell quantity Available Capacity of said Generating Unit or RES Unit Upon submission of Buy Orders for Generating or RES Unit for a certain MTU: Net energy quantities already sold in DAM + any net energy quantities already traded in previous LIDA or CRIDA - Submitted Intra-Day Market Buy quantity 0 41
41 Upon submission of Sell Orders for Generating or RES Unit for a certain MTU: ISP schedule of a Generating Unit or RES Unit + any already awarded upward FCR, a-frr and m-frr + Any previous accepted Sell Order Any previous accepted Buy Order + Intra-Day Sell Order quantity Available Capacity of Generating Unit or RES Unit The Sell Order shall be curtailed, so that the above sum is exactly equal to the Available Capacity of Generating Unit or the Technical Minimum under AGC, whichever is lower. 42
42 Upon submission of Buy Orders for Generating or RES Unit for a certain MTU: ISP schedule of a Generating Unit or RES Unit - any already awarded downward FCR, a-frr and m-frr + Any previous accepted Sell Order Any previous accepted Buy Order - Intra-Day Buy Order quantity Technical Minimum of Generating Unit or RES Unit The Buy Order shall be curtailed, so that the above sum is exactly equal to the Technical Minimum or the Technical Minimum under AGC, whichever is lower. If no Reserve Capacity was awarded, then the Buy Order quantity cannot exceed the maximum between previous Market Schedule and ISP schedule. 43
43 Introduction CACM XBID Participation in ID Market LIDAs GRIDAs XBID Results ID Market Interaction ID-BM 44
44 Products in XBID: Hourly Products: 24 contracts, one for each hour of the Delivery Day Half-hourly: 48 contracts, one for each half-hour of the Delivery Day User Defined Blocks: on-demand combinations of contracts defined by the Participant coverable by multiple regular market contracts of the product and with consecutive delivery times. Order Types: Limits Orders (or Regular Orders): Buy/Sell Orders with a specified quantity and price. Characteristics: Buy Orders can be executed at that price or lower Sell Orders can be executed at that price or higher Limit Orders can be executed partially or fully Linked Orders: either all Orders can be fully executed or no Order will be executed. Iceberg Orders: Limit Orders only visible with part of their total quantity in the market, while their full quantity is exposed to the market for matching. Part of the hidden quantity shall be disclosed for trading as soon as the part that had already been disclosed has been executed. 45
45 None (NON): either executed immediately or, if the Order can t be matched right away, entered into the Order Book Partial Order executions are allowed and NON Orders can be executed against multiple other Orders and create multiple trades Fill or Kill (FOK): either fully traded at one point immediately after the Order is submitted with its full quantity or deleted without entry in the Order Book FOK Orders can be matched against multiple existing Orders in the Order Book. FOK Orders cannot have a validity restriction Immediate or Cancel (IOC): either traded (in any amount) at one point immediately after the Order is submitted or, if the Order can t be matched, deleted without entry in the Order Book Partial executions are allowed and IOC Orders can be executed against multiple other Orders and create multiple trades IOC Orders cannot have a validity restrictions 46
46 Execution restrictions: All or Nothing (AON): either executed against exactly one other Order with its full quantity or entered into the Order Book Partial executions are not allowed AON is only allows for Orders in the user-defined market. Validity restrictions: Good for session (GFS): Time validity determined by the validity of the corresponding trading session of the Order Order pulled out of the trading automatically the defined time validity of the corresponding trading session passes Good till date (GTD): Time validity defined by date and time Order pulled out of the trading automatically the defined time validity passes 47
47 48
48 49
49 1 st Intra-Day Continuous Session 50
50 GOT 23:30 D-1 51
51 GCT 60min before physical delivery 52
52 2 nd Intra-Day Continuous Session 53
53 GOT 08:30 D 54
54 GCT 60 min before physical delivery 55
55 Delivery Period: 03:00 D 13:00 D 56
56 GOT 23:30 D-1 57
57 GCT 02:00 D 58
58 Delivery Period: 03:00 D 13:00 D 59
59 Upon submission of Sell Orders for Generating or RES Unit for a certain MTU: Net energy quantities already sold in DAM + any net energy quantities already traded in previous LIDA or CRIDA + Submitted Intra-Day Market Sell quantity Available Capacity of said Generating Unit or RES Unit Upon submission of Buy Orders for Generating or RES Unit for a certain MTU: Net energy quantities already sold in DAM + any net energy quantities already traded in previous LIDA or CRIDA - Submitted Intra-Day Market Buy quantity 0 60
60 Upon submission of Sell Orders for Generating or RES Unit for a certain MTU: ISP schedule of a Generating Unit or RES Unit + any already awarded upward FCR, a-frr and m-frr + Any previous accepted Sell Order Any previous accepted Buy Order + Intra-Day Sell Order quantity Available Capacity of Generating Unit or RES Unit The Sell Order shall be curtailed, so that the above sum is exactly equal to the Available Capacity of Generating Unit or the Technical Minimum under AGC, whichever is lower. 61
61 Upon submission of Buy Orders for Generating or RES Unit for a certain MTU: ISP schedule of a Generating Unit or RES Unit - any already awarded downward FCR, a-frr and m-frr + Any previous accepted Sell Order Any previous accepted Buy Order - Intra-Day Buy Order quantity Technical Minimum of Generating Unit or RES Unit The Buy Order shall be curtailed, so that the above sum is exactly equal to the Technical Minimum or the Technical Minimum under AGC, whichever is lower. If no Reserve Capacity was awarded, then the Buy Order quantity cannot exceed the maximum between previous Market Schedule and ISP schedule. 62
62 Introduction CACM XBID Participation in ID Market LIDAs GRIDAs XBID Results ID Market Interaction ID-BM 63
63 Results of Local Intra-Day Auction: State of acceptance of each Order Net Position for each Bidding Zone and Market Time Unit Clearing Price of the Local Intra-Day Auction per Bidding Zone and Market Time Unit Results of Complementary Regional Intra-Day Auctions: State of acceptance of each Order Net Position for each Bidding Zone and Market Time Unit Clearing Price of each Complementary Regional Intra-Day Auction per Bidding Zone and Market Time Unit Results of Continuous Intra-Day Trading: Price and quantity of matched Orders 64
64 Introduction CACM XBID Participation in ID Market LIDAs GRIDAs XBID Results ID Market Interaction ID-BM 65
65 66
66 Thank you very much for your attention!! 67
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