N2EX Product overview. Day Ahead Auction Spot Market. Issued by Nord Pool Spot AS - 24/02/2015

Transcription

1 Issued by Nord Pool Spot AS - 24/02/2015 N2EX Product overview Day Ahead Auction Spot Market Nord Pool Spot AS Tel Fax PO Box 121, NO-1325 Lysaker, Norway Org nr. NO MVA norway@npspot.com

2 Contents 1 Introduction Marketplace platform Market Rules and supervision Day Ahead Auction at N2EX Day-Ahead Auction specifications Auction Products Hourly orders Block order Minimum acceptance ratio (temporarily suspended until further notice) Profiling of Blocks Orders Linked Block Orders Flexible order Exclusive Groups Auction product delivery period Spot Market (Intraday) Day-Ahead Auction specifications Spot Market Products Trading and delivery times for Spot Products Codes for settlement trades Settlement codes for DAM Trades Settlement codes for Spot Market Index N2EX Day Ahead Auction Market index Adjusted Gas Price index N2EX Spark Spread index Page 2 of 15

3 1 Introduction This document describes the product offering in the N2EX Day Ahead market (DAM) and Spot Market (Intraday) 1.1 Marketplace platform Day Ahead Market: The DAM runs on the SAPRI trading system. It is possible to access SAPRI in two ways: Install the SAPRI Trade client on your computer. The SAPRI Client can be downloaded at 1. Access SAPRI Trade client using the "Click once" application at: Systems feature: Secure internet access Place DAM orders Receive DAM results Automatic BSC Notification Central counterpart clearing API Spot Market (Intraday): The Spot market runs on the Nord Pool Spor Intraday Trading system. The trading system may be accessed using the web application at: Systems feature: Secure internet access Place orders Hit orders Automatic BSC Notification Central counterpart clearing 1.2 Market Rules and supervision The N2EX Rulebook is under UK law and can be found using the link: Physical market is operated by Nord Pool Spot AS (NPS). The Market Surveillance Department will monitor the trading activities in the physical markets at Nord Pool Spot and conduct investigations of possible breaches of laws and regulations. Page 3 of 15

4 2 Day Ahead Auction at N2EX 2.1 Day-Ahead Auction specifications The Day Ahead Auction Market (DAM) runs on the SAPRI Trade Client. Quotation method: Continuous trading during Trading Hours where Transactions will be matched automatically when concurring Orders are registered in the ETS. Gate closure: 11:00 GMT/BST. Contracts availability: Every Tuesday contracts for the following week will be listed in SAPRI. In effect the DAM market will have between 7 14 days open for bidding at any given time. Publication of prices and distribution of participant schedules:11:42 GMT/BST Trading days: The DAM is open every day of the year. This includes bank holidays and public holidays. Trade lot: 0.1 MW Tick Size: GBP 0.01/MWh Currency: GBP (Pounds Sterling) Price steps: The number of price steps for the day-ahead market is 200 including the upper and lower price limits. Lower technical price limit: -500 Upper technical price limit: 3000 Order Types: (a) Hourly Orders, (b) Block Orders (c) Flexible Orders (d) Group Block Orders Block Order Volume Limit: 500 MW Contracts: Hourly contracts will be listed in periods 1 to 24. For delivery schedule see Table 1- Auction Market - delivery schedule Settlement: o o Delivery day for buy positions Delivery day + 1 for sell positions Page 4 of 15

5 2.2 Auction Products Purchases are designated as positive numbers, sales as negative numbers. There are five types of orders available in DAM; hourly orders block orders o Linked o Profiled o Curtailed flexible orders group block orders 2.3 Hourly orders The hourly order is the basic type of DAM market order. Each participant individually selects the range of price steps for Hourly Orders. The simplest order is a price independent order for all hours. The participant will receive a schedule of deliveries equal to the specified volume for all hours, regardless of the price level within the range. Participants who submit price dependent orders accept that Nord Pool Spot will make a linear interpolation of volumes between each adjacent pair of submitted price steps. Once the DAM price for each hour is determined, a comparison with a participant's order form for the day establishes the traded volume for that participant. 2.4 Block order The block order gives the participant the opportunity to set an 'all or nothing' condition for all the hours within the block. The block order is an aggregated order for several hours, with a fixed price throughout these hours. The participants can freely pick the start and stop hour of a block but it must consist of at least two consecutive hours. A block order must be accepted in its entirety; thus, if accepted, the contract covers all hours and the volume specified in the order. The block order price is compared with the average DAM price for the hours to which the block order applies; a block order is accepted if the following conditions are met: a) If the order price of a sales block is lower than the average DAM area price b) If the order price of a purchase block is higher than the average DAM area price Each participant may post up to 80 block orders per portfolio per delivery day. Maximum volume per block is 500 MWh Minimum acceptance ratio (temporarily suspended until further notice) It is possible to add a minimum acceptance ratio in Megawatt or percentage. This means that a block order may be curtailed down to a chosen ratio and no longer needs to be an all or none bid. In SAPRI this is displayed as Min accept MW or Min accept % accordingly. These cells are interchangeable and one cell will automatically change if the other cell is changed. For Profiled Blocks (see X) the percentage acceptance ratio will apply across all periods, and the acceptance ratio in Megawatt will become void. Page 5 of 15

6 2.4.2 Profiling of Blocks Orders It is possible to have different quantity in each hour of a block. Since the volume in a profiled block is no longer the same for all hours, it is the Volume Weighted Average Price (VWAP) that determines whether the block is accepted or not. Note: It is not possible to have both buy and sell in the same block. 2.5 Linked Block Orders It is possible to define links between block orders meaning that the evaluation and acceptance of one block order B (=child block) is dependent on the acceptance of another block order A (parent block). The maximum level of links are three, meaning that you can link a block order C (=Grandchild) to block order B (=Child) which again is linked to block order A (=Parent). In its simplest form a block order B (=child) is linked to another block order A (=parent). In this case a portfolio will get either 1) neither A nor B, 2) only A, or 3) both A and B. Block B will never become cleared on its own. A child order (B) can only be linked to one parent order (A) A grandchild (C) order can only be linked to one Child order (B) A block order cannot be linked to a flexi order or vice versa Order A, B and C can span any set of hours independently of each other Order A, B and C can have any order price independently of each other The number of link levels must not exceed three A parent or child order can have up to three child or grandchild -orders o Example, max three levels with three children and grandchildren: Circular link chains are not allowed, i.e. order C is linked to Order B that is linked to Order A that is linked to order C. If the parent block is curtailable, the child block can only be accepted to the same ratio as its parent. A family of linked blocks can be accepted even though the parent block is out of the money, if the child blocks provide sufficient surplus to compensate for the loss of the parent. Page 6 of 15

7 2.6 Flexible order A flexible Order can contain between 1 and 23 consecutive hours. The order will be accepted in the hour(s) where it provides the highest Social Welfare, given that the order is in the money. It is possible to specify between which hours of the day the order may span. Each participant may post up to 3 flexible hourly orders per delivery day. Maximum volume per block is 500 MWh 2.7 Exclusive Groups An Exclusive Group is a basket of blocks where a maximum of one block within the group can be accepted. Exception: More than one block may be partially accepted as long as the blocks do not exceed a combined acceptance ratio of 1. Block orders within an Exclusive group can hold the same features as any other blocks, except linking of blocks. A group is defined by its Group ID. The group ID is entered in the Group column of the SAPRI trade client. All orders that have the same group ID will belong to the same group. Each participant may post up to 3 Exclusive Groups per portfolio per delivery day. Each Exclusive group may consist of up to 15 Block orders Maximum volume per block is 500 MWh. 2.8 Auction product delivery period Hourly contracts will be listed in periods 1 to 24. For the trading platform the contract period reflects the EFA calendar (start of delivery period 23:00-22:00), while the Settlement system (Clearing results) will reflect the contract periods in CET (start delivery period 00:00 23:00). See Table 1- Auction Market - delivery schedule. Page 7 of 15

8 Table 1- Auction Market - delivery schedule Settlement Period Auction market delivery schedule Start time GMT/BST 23:00 00:00 00:00 01:00 01:00 02:00 03:00 04:00 05:00 06:00 07:00 08:00 09:00 10:00 11:00 12:00 13:00 14:00 15:00 16:00 17:00 18:00 19:00 20:00 21:00 22:00 End time GMT/BST 02:00 03:00 04:00 05:00 06:00 07:00 08:00 09:00 10:00 11:00 12:00 13:00 14:00 15:00 16:00 17:00 18:00 19:00 20:00 21:00 22:00 23:00 Orders Clearing (results) DH Page 8 of 15

9 3 Spot Market (Intraday) 3.1 Day-Ahead Auction specifications The Spot Market runs on Nord Pool Spot Intraday trading platform. Quotation method: Continuous trading during Trading Hours where Transactions will be matched automatically when concurring Orders are registered in the ETS. Trading Hours: The market will be opened at xx:xx each day and closed at xx:xx Trading days: The Spot Market is open every day of the year. This includes bank holidays and public holidays. Trade lot: 0.1 MW Tick Size: GBP 0.1/MWh Currency: GBP (Pounds Sterling) Order Types: (a) Limit, (b) Immediate-or-Cancel, (c) Fill-or-Kill Delivery: As specified in relation to each Product and per applicable Delivery Period, see. Settlement: o o Delivery day + 2 for buy positions Delivery day + 3 for sell positions 3.2 Spot Market Products The following products are offered in the Spot Market: Half hour 1 Hour 2 Hour Block (Suspended) 4 Hour Block (Suspended) Day Overnight (Suspended) Block 3+4 (Suspended) Day Peak (Suspended) Day Off-Peak (Suspended) Day Extended Peak (Suspended) Day Base (Suspended) All products have the possibility to be placed as these different order types on the trading system: Fill Matching may be effected either for the full volume or for a part of the volume. Any remaining volume shall remain valid with the ranking of the original Order. All-or-Nothing (Suspended) Matching may only be effected for the full volume Fill-or-Kill (FoK) An Order that shall be immediately matched for the whole order volume or cancelled. Immediate-or-Cancel (IoC) An Order that shall be immediately matched for as much of the order volume as possible and then cancelled. Page 9 of 15

10 Iceberg Order (IBO) (Suspended) An Order in the Intraday Market that has a partly hidden total volume. Each part of the Iceberg Order is called a Clip. When the Order has been submitted to the market, other Participants will only see the first Clip, as a part of the total volume, when the Order is submitted. When the first Clip is matched, the next Clip receives a new order number and time stamp. There is possible to have a set price change for each Clip. Minimum Clip Size is set to 25MW. 3.3 Trading and delivery times for Spot Products The products close for trading Table 2 Spot Market product listing schedule Spot market Product listing schedule (GMT/BST) Product Type Trading starts * Trading Ends * Examples Instrument Trading starts Trading ends Half Hour 00:00 D-1 day D-75 minutes HH : :15 Power Hour 00:00 D-1 day D-76 minutes PH : :44 2 Hour Block 00:00 D-1 day D-77 minutes 2H B : :43 4 Hour Block 00:00 D-1 day D-79 minutes 4H B : :41 Day Overnight 00:00 D-1 day D-79 minutes DON : :41 Block :00 D-1 day D-79 minutes DB : :41 Day Peak 00:00 D-1 day D-79 minutes DP : :41 Day Off-peak 00:00 D-1 day D-79 minutes DOP : :41 Day Extended peak 00:00 D-1 day D-79 minutes DEP : :41 Day Base 00:00 D-1 day D-79 minutes DB : :41 * D = Delivery Period, D-1 day = One day prior to EFA Delivery Period, D-nn minutes = nn minutes prior to start of first Delivery Period Start and end times in the table below denotes the start and end time of the applicable Delivery Period(s) for each Product. The table also specifies the numbering of the individual instrument suffixes for Half Hour, 1 Hour, 2 Hour and 4 Hour Blocks. Page 10 of 15

11 Table 3 - Spot Market delivery schedule Settlement Period Start time GMT/BST End time GMT/BST 47 23:00 23: :30 00: :00 00: :30 01: :00 01: :30 02: :00 02: :30 03: :00 03: :30 04: :00 04: :30 05: :00 05: :30 06: :00 06: :30 07: :00 07: :30 08: :00 08: :30 09: :00 09: :30 10: :00 10: :30 11: :00 11: :30 12: :00 12: :30 13: :00 13: :30 14: :00 14: :30 15: :00 15: :30 16: :00 16: :30 17: :00 17: :30 18: :00 18: :30 19: :00 19: :30 20: :00 20: :30 21: :00 21: :30 22: :00 22: :30 23: Spot market delivery schedule 2 Hour 4 Hour Day Day Off- Half Hour 1 Hour Block 3+4 Day Peak Day Base Block Block Overnight Peak Peak HH- PH- 2H- 4H- DON- B34 DP- DOP- DEP- DB A 1B 2A 2B 3A 3B 4A 4B 5A 5B 6A 6B B1 B2 B3 B4 B5 B6 DON DB34 DP DOP DOP Day Extended DEP DB Page 11 of 15

12 4 Codes for settlement trades 4.1 Settlement codes for DAM Trades The Day Ahead Auction follows the EFA calendar. However, in the Clearing and Settlement system, these hourly prices are presented according to the standard calendar. The price for Period 1 (23:00-00:00) in the auction corresponds to hour 24 the previous day according to the standard calendar. The following reporting codes will appear in the settlement procedure. Table 4- Auction Market Product - contract codes Auction Market Product contract codes System Type Prefix Suffix (variable) Example Orders Delivery Hour (Contract Codes not applicable) = Year 2015, May 20th - Hour 2, 00:00-01:00 GMT/BST Clearing (results) Delivery Hour DH DHyyyymmdd-nn DH = Year 2015, May 20th - Hour 1, 00:00-01:00 GMT/BST Table 5 - Auction Market - contract codes variables Auction Market Contract codes variables SUFFIX VARIABLE DEFINITION RANGE yyyy Year (Four Digits) 2000 to 2099 mm Month of Year (Two Digits) 01 to 12 dd Day of Month (Two Digits) 01 to 31 nn Delivery Hour (Two Digits) 01 to 24 Page 12 of 15

13 4.2 Settlement codes for Spot Market The following reporting codes will appear for each product both in the Intraday Trading sytem as well as for the settlement system. Table 6 - Spot Market - Contract codes Spot market Contract codes Product Type Prefix (fixed) Suffix (variable) Example Half Hour HH- yyyymmdd-nn HH = Half Hour - Year 2015, May 20 th - Half Hour 36 1 Hour PH- yyyymmdd-nn PH = 1 Hour - Year 2015, May 20 th - Hour 10 2 Hour Block 2H- yyyymmdd-nl 2H B = 2 Hour Block - Year 2015, May 20 th - Block 3B 4 Hour Block 4H- yyyymmdd-bn 4H B4 = 4 Hour Block - Year 2015, May 20 th - Block 4 Day Overnight DON- yyyymmdd DON = Day Overnight - Year 2015, May 20 th Block 3+4 DB34- yyyymmdd DB = Block Year 2015, May 20 th Day Peak DP- yyyymmdd DP = Day Peak - Year 2015, May 20 th Day Off-peak DOP- yyyymmdd DOP = Day Off-Peak - Year 2015, May 20 th Day Extended peak DEP- yyyymmdd DEP = Day Extended Peak - Year 2015, May 20 th Day Base DB- yyyymmdd DB = Day Base - Year 2015, May 20 th Table 7 - Spot Market - Contract codes variables Spot Market - Contract codes variables SUFFIX VARIABLE DEFINITION RANGE yyyy Year (Four Digits) 2000 to 2099 mm Month of Year (Two Digits) 01 to 12 dd Day of Month (Two Digits) 01 to 31 nn Half Hour and Hour Period (Two Digits) 01 to 48 (50) nl 2H Block Period (Two Digit) 1A to 6B n 4H Block Period (One Digit) 1 to 6 Page 13 of 15

14 5 Index N2EX has, in consultation with the market, decided to provide two alternative indices based upon the activity in the Physical UK Power markets. 5.1 N2EX Day Ahead Auction Market index The arithmetic average of the 24 individual hourly prices in the DAM for a specific day calculated am on the day before delivery. 5.2 Adjusted Gas Price index Gas price quotes are sent from Platts to N2EX operators each day at 11:00 GMT/BST. Price quotes including WD (Within Day), DA (Day-ahead) and WE (Weekend) are registered and adjusted gas price is calculated. To match EFA calendar, 7/24 of WD + 17/24 of DA is used to derive adjusted gas price. 5.3 N2EX Spark Spread index Spark Spread is derived from Day-Ahead auction base load price for corresponding delivery date and trader-supplied WD (Within Day) and DA (Day-Ahead) gas prices, taken at 11:00 to correspond with the closing time for the day-ahead power auction. Industry average rates are used to derive Spark Spread: Conversion factor = 06945: the conversion rate from gas in p/th to a notional cost of gas-fred generation, based on th per MWh for natural gas and 49.13% station efficiency. Page 14 of 15

15 Table 8 - Index naming Index Naming Convention Index Prefix (fixed) Suffix (variable) Example DAM Index N2P_DAM- yyyymmdd-nn N2P_DAM Adjusted Gas Price Spark Spread Index N2P_GAS- yyyymmdd-nn N2P_GAS N2P_DSS- yyyymmdd-nn N2P_DSS Table 9 - Index Naming Prefix (Fixed) N2P_DAM N2P_GAS Index Naming DEFINITION N2P = N2Power DAM = Day-Ahead Market N2P = N2Power DAM = Gas Price N2P_DSS N2P = N2Power DAM = Dark Spark Spread Table 10 - Index - Contract code variables Index Contract code variables SUFFIX VARIABLE DEFINITION RANGE yyyy Year (Four Digits) 2000 to 2099 mm Month of Year (Two Digits) 01 to 12 dd Day of Month (Two Digits) 01 to 31 Page 15 of 15