Technical Overview N2EX

Transcription

1 Espen Døvle Technical Overview N2EX Nord Pool Spot AS Tel Fax PO Box 121, NO-1325 Lysaker, Norway Org nr. NO MVA

2 Contents 1 Introduction N2EX platform overview Account and user model Notification - ECVNA Service System infrastructure System environments Time handling Access to the N2EX platform Secure market data communication Market data API service FTP service Page 2 of 15

3 1 Introduction This document provides an overview of the N2EX UK Power exchange platform and the key functionalities. The first chapter of the document provides a brief introduction to N2EX followed by a chapter providing an overview explaining the structure and key building blocks of the platform. The last chapter provides information on how to access the N2EX platform and its market data. User guide documentation In addition to the information provided in this document, details of the platforms software can be found in the following user guide documents: Trade clients: SAPRI Trade User Guide CONDICO Clearing Station User Guide API service: SAPRI Trade API Guide CONDICO Clearing station API Guide The above documents can be found on Page 3 of 15

4 2 N2EX platform overview The exchange platform for N2EX is based on a combination of two software solutions SAPRI and CONDICO Clearing. SAPRI is used for the day-ahead auction market. The post-trade processing including clearing, settlement, and notification is done using the CONDICO Clearing platform (Nord Pool Spot acts as the counterparty to all trades and as Energy Contract Volume Notification Agent (ECVNA) for all UK power contracts cleared on the exchange). Structure and information flows The integrated SAPRI and CONDICO platform offer members an integrated exchange trading and clearing solution providing everything from price discovery and matching to notification, credit risk management and settlement. SAPRI CONDICO Clearing Order Mgmt Market Data Auction Matching Deal Capture Position Mgmt Settlement Reporting Innvoice Margining Notification The trading and the clearing parts of the solution are tightly integrated which allows for straight through processing of all trades and the provisioning of position and margining information based on latest position and price information intra-day. The key building blocks of the exchange solution and the basic flow of information are depicted in the figure below. Page 4 of 15

5 All orders entering the system is assigned a unique order ID that follows the order through its life cycle. Each trade executed on the platform is given a unique ID and each trade also refers to a unique order ID. In addition, a trade is assigned a deal source which allows for separation between the origins of the deal. Changes are done with documented history and version handling. The information exchange mechanism between the trading system and the clearing system is based on XML file transfer. In case that a file is not properly transferred, an alarm will be triggered in the NASDAQ OMX surveillance centre. After the day-ahead auction calculation, the schedules resulting from the auction are transferred over to the clearing system (the transfer is done before the end of the dispute period). In order to represent trades resulting from the prompt and spot market, and the auction market in a similar way in the clearing system, the schedule representing all 24 hours, is transformed into hourly trades where each hour is represented as an instrument series in the clearing system. Each hour of the schedule will be represented as a trade on the hourly instrument series listed in the clearing system. Different bid types (single, block and flexi bids), will be represented by different trades and the deal source status will tell the bid source. In the event of a dispute and that the auction is re-calculated, all trades from the first auction calculation will be cancelled, and a new set of trades will be created. Page 5 of 15

6 3 Account and user model The N2EX relational model allows a participant to have different forms of membership arrangements with N2EX, for example: Direct clearing member, DCM (member with both trading and clearing membership). Non-clearing member, NCM (trading but not clearing membership, clearing must be arranged via a GCM) General clearing member, GCM (clearing for both their own and other members trades). A GCM can also have a trading membership A key concept in the relational model is account. Accounts are used for storage of trade related information through-out the life-cycle of a trade from order entry, via execution to delivery and settlement. Accounts serve different purposes and can be grouped in different account types accordingly. Both the CONDICO and SAPRI platforms provide flexibility in terms of the number of Trading Accounts and Portfolios a member can have assigned and active at the same time. All trading accounts and portfolios in CONDICO Trading and SAPRI respectively are also configured in the Clearing system. SAPRI In SAPRI, the trading account concept is named Portfolio. All bidding done on the auction platform is related to a Portfolio. Access to functionality in SAPRI is based on User privileges. For the N2EX platform, 2 user types are available: Trader Access View Market information (public price information) Bid Entry (for associated accounts) View bids (for associated accounts) View private market results and schedules (for associated accounts) View Only Access View Market information (public price information) View bids (for associated accounts) View private market results and schedules (for associated accounts) The access privileges are also valid for external applications connecting through the API. Thus, an API user can be provided only read access. Page 6 of 15

7 N2EX Members Members Member_A Portfolios Portfolios Portfolio_A1 Users Users User_A1 User Rights A1 Portfolio_A2 User_A2 User Rights A2 7 Associations control access to information User Rights control access to functions in platform CONDICO Clearing The configuration of a member in the CONDICO Clearing system includes several additional accounts. Trading Account. The Trading Account holds trades for a certain participant or client and is the basis for calculation of positions and settlements. For risk management purposes, obligations are propagated to a clearing account and the holder of the clearing account is the party responsible for pledging collaterals. All trading accounts and portfolios in CONDICO Trading and SAPRI are also configured in the Clearing system. In addition, a member can request more trading accounts in the clearing system in order to allow for more granular portfolio handling in the clearing system. Clearing Account. The Clearing Account is the basis for margining calculation. Each member must have at least one Clearing Account. Based on the associations between the Clearing account and the Trading accounts, the system allows for propagation for margining purposes. The margining calculations are done based on net positions propagated from the associated Trading Accounts. Settlement Account. In order to allow for flexible settlement arrangements regarding the actual cash-settlements following deliveries, each Clearing Account is associated to a Settlement Account. A member typically has one Settlement Account and all financial obligations following settlements are stored on the account. Physical Delivery Account. In order to manage certain arrangements regarding the actual delivery following a physical settlement, a Trading Account is associated to a Physical Delivery Account. The Physical Delivery Account is the basis for notification to ELEXON. A member can have one or multiple Physical Delivery Accounts. Page 7 of 15

8 4 Notification - ECVNA Service Nord Pool Spot as the clearing house for the N2EX market is the counterparty for all trades and thus the counterparty in all notifications to be done for the UK market. Nord Pool Spot is authorized by ELEXON to act as nomination agent or ECVNA. An ECVNA is a Party Agent who submits Energy Contract Volume Notifications on the behalf of two Contract Trading Parties to the ECVAA. All members on the N2EX market needs to complete the BSCP71/01, Party Agent registration with Nord Pool Spot as counterparty and Nord Pool Spot as single notification agent. Nord Pool SPot is responsible for notifications and, in case of failures in notifying a members positions, take the cost for the members unbalance. ELEXON will settle each ½ hour and notifications for delivery within a ½ hour shall be received before gate closure. Each member may have one or two electricity accounts registered at ELEXON. One a production account and/or one a consumption account. Nord Pool Spot will nominate the members net positions. Contracts can be traded up to 15 minutes before gate closure on the spot market. Nord Pool Spot will send notifications every ½ hour, ECVAA-I004 files. In case a member s net position has been changed, a new notification will be sent to ELEXON. ELEXON will send a file to each company with the notifications registered by ELEXON. A ECVAA-I022 file will be sent from ELEXON at 09:00, 14:30, 18:30 and 22:00 to the parties. In addition to the notifications for actual day and next day NASDAQ OMX will notify 7 days ahead at four occasions matching the ECVAA-I022 messages. This means the members can verify their net traded positions seven days ahead four times a day. The N2EX notification process is a continuous process with costly implications for NASDAQ OMX in case of failures in notifications. The system solution and has been designed to be a very robust solution operating continuously without manual interaction. Please refer to N2EX ECVNA Notification description document for further information. 5 System infrastructure In order to support the operation of the N2EX markets, a comprehensive system infrastructure and business operation procedures have been deployed to ensure market availability and data integrity. 5.1 System environments N2EX maintains a number of system environments: Primary Production system hosted at the primary data centre. Page 8 of 15

9 Secondary Production system (Disaster Recovery) hosted at the secondary data centre. Member test system which runs the same version of software as the production system. Environment Address Comment Primary Production Secondary Production (Disaster Recovery) Member test Site will be available in case of site failover and initiation of disaster recovery procedures. In order to gain access to the environments, please contact the N2EX trading desk Primary and secondary production system The N2EX system infrastructure is hosted in 2 of NASDAQ OMX data centers located in the greater Stockholm area in Sweden. NASDAQ OMX data centers are equipped with state-of-the-art security equipment that includes biometric iris scanners, security zones and infrared sensors. With a backup power supply, the centers offer full resilience of power, cooling and bandwidth, as well as redundant backup. Early warning aspirating smoke detection units and extinguishing systems protect the operations from fire and other hazards. The primary production system is based on a redundant configuration and ready to handle a software or hardware failure within any of the functional blocks of the solution. The primary production site is supplemented with a secondary production site (disaster site) which is ready to take over the market operation in case of a complete site failure in the primary site. All production (primary) databases are replicated to the standby databases located at the Disaster Recovery site. State of the art replication using advanced storage area network techniques ensures that every transaction committed on a primary database is automatically replicated on the secondary site, ensuring complete data integrity as well as providing complete system and business continuity. Complete Disaster recovery testing will be performed annually to ensure system and process integrity. Page 9 of 15

10 5.1.2 Technical support NASDAQ OMX provides 24/7 operational support services. Network, system infrastructure as well as applications are monitored by the Operations department, and various procedures and checks are regularly performed to ensure system integrity. The technical service desk is also staffed 24 hours a day for every day of the year and provides a full and comprehensive helpdesk service. Any calls made by members are logged and given a unique reference number, progress is monitored, giving updates to the call originator wherever relevant, until its resolution and the issue is closed. All equipment located in the data centers is situated behind industry standard enterprise firewalls. The firewalls (external) provide rule based security and NATing thus hiding the internal address of the servers from all external connections. These firewalls also provide protection against spoof attacks and denial of service attacks, among others. The external facing firewalls are managed by NASDAQ OMX specialists, and are monitored on a 24/7 basis for any security threats and any unauthorized or suspicious connection attempts. 6 Time handling The time handling of the platform is managed in the following way: SAPRI API: All times displayed are in CET 1 GUI: All time stamps are displayed in CET. Please note that the SAPRI Trade client lists the 24 trading periods with the time in BST/GMT specified. CONDICO Clearing API: All times displayed is in local UK time (GMT/BST based on time of the year) GUI: All times displayed is in local UK time (GMT/BST based on time of the year) All servers in production and test are time synchronized. Day-light saving changes will be reflected in the products listed for the particular date when the changes occur. Numbering of Half Hour and Hour products follows the convention in the Balancing and Settlement code. On the short-clock change day in March, the products are numbered 01 to 46 and 01 to 23 respectively and on the long-clock change in October the products are numbered 01 to 50 and 01 to 25 respectively. All other products spanning the March or October clock change are one hour shorter on the short-clock change and one hour longer on the long-clock change. 1 The Day ahead market follows Standard European Time and thus covers the hours from 23:00 to 23:00 BST/GMT, starting last hour on the day (adherence to EFA calendar). Page 10 of 15

11 7 Access to the N2EX platform The exchange platform provides secure access and easy to use interfaces by which the market participants have access to all relevant business functionalities and information. Members will be able to access the exchange platform in two ways: Via trade and back-office applications provided by N2EX Through API with an external trading solution. The user applications provided by N2EX for access to the platform are: SAPRI Trade, for access to the auction market CONDICO Clearing Station, for access to clearing and settlement information The applications are available either through browser launch utilizing the Microsoft Click Once technology, or by following where the clients can be downloaded and installed. Please refer to the user guidelines for further details on each of the applications. If a login issue occurs please contact the N2EX trading desk at N2EX@npspot.com. 7.1 Secure market data communication The primary connectivity solution will be via an encrypted Public Internet Access. All communication is TCP/IP based and any communication to the N2EX platform utilizes encrypted Secure Sockets Layer (standard SSL, 128 bit encryption accessed over Port 443 only.) As an alternative, private leased line or VPN will be available through Verizon; NASDAQ OMX preferred supplier, which offers access via its Verizon Financial Network. In addition to the encryption via SSL, there will be additional security mechanism applied. The mechanisms differ between client access and API access using third party software or proprietary member solutions. Please note that the same authentication mechanisms will be applied independently of means of access (leased lines or Internet) Access via N2EX applications For access via CONDICO Trade, SAPRI Trade and CONDICO Clearing Station, there are a two-factor authentication based RSA SecurID technology. This implies that a correct timesynchronized random number generated by a user unique digipass must be provided along with a valid username and 8 digit password. on The 8 digit password combined with the digipass generated token (6 digits) will form the password as basis for the login. Page 11 of 15

12 7.1.2 Access via third party software For external software solutions accessing via the API, user name and password will be used for authentication. Please note that for server login using IP checks for CONDICO Trading and SAPRI, the API call APILogin should be used for gaining access to the platforms. For further details, please refer to the API specification for the SAPRI XML API found on the Nord Pool Spot web page. 8 Market data The N2EX exchange platform stores information on activities and business processing results in SAPRI and CONDICO Clearing systems respectively. All execution related data including prices, trades and orders can be retrieved from the SAPRI system. Historic private data will be available for at least 1 month in the trading systems. In addition, the CONDICO Clearing System safe stores all trades done on the exchange as basis for clearing and settlement calculation plus notification. These will be at least 1 year of historic data available. All market data can be received using the N2EX API and FTP service. 8.1 API service The SAPRI and CONDICO XML APIs are an easy way to access the trading services provided by the SAPRI and CONDICO solutions. The API can be used to retrieve market information like commodity prices, news or to enter bids into the underlying exchange etc. The available APIs are: Day-ahead auction market access: SAPRI XML API Clearing and settlement access: CONDICO Clearing API Please see the API user guides for more in depth information. The API is structured through a number of so called SubSystems where each SubSystem can have one or more Actions. An Action identifies a request related to input or output. The APIs of CONDICO and SAPRI are XML based and comes with an explorer support tool. The XML explorer tool allows programmers to find out how the XML API functions by sending queries to the server and examine the resulting XML document. The explorer tool can be accessed via the following: Page 12 of 15

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14 8.2 FTP service Through the FTP members are able to access an extensive data material. The data includes day-ahead auction related data which could be of use when analysing the dayahead auction results. Other interesting information in the FTP is auction price resilience data, index and price history. Please contact the Power Data Service department at Nord Pool Spot to get access to the FTP server. FTP file catalogue structure Page 14 of 15

15 CONTACT INFORMATION Should you have any questions, please get in touch with the N2EX Operations Team: N2EX Trading Operations Tel Page 15 of 15