1. finance
2. investing
3. day trading

Modifications Committee
Mod_18_10: Intra-Day Trading
25 November 2010
Intra-Day Trading
Context - Intra-Day Trading Modification
Summary of Intra-Day Trading High Level Design
Central Market Systems : release schedule timelines
Discussion and Vote
Why Intra-Day Trading?
•
The EU is moving towards greater integration of electricity market
arrangements, particularly to facilitate greater trading across Europe.
•
EU Congestion Management Guidelines require re-allocation of unused
Interconnector capacity on both D-1 and D.
•
Ireland Infringement Letter - June 2010
• Continuing infringement cases against Ireland for violating Electricity Regulations.
• Key concerns are:
1) no intra-day congestion management mechanism at all interconnections
2) no common co-ordinated congestion management method
•
SEM Committee Decision (SEM-10_011)
• RAs to develop a Modification to facilitate intra-day trading
• RAs to set up a Working Group to discuss proposal and alternatives
• RAs to bring a proposed Modification (agreed by the Modifications Committee) to the
SEM Committee.
SEM Committee Decision (SEM-10_011)
•
Establish a Working Group on the issue having due regard to:
• The advantages of aligning intra-day trading arrangements in the SEM with
those on the IFA and BritNed.
• The desire for intra-day trading to affect ex post SMP, to maximise the
incentives for participants to submit intra-day bids.
• The benefits and drawbacks of multiple gate closures and the key timings
and interactions to consider (e.g. initial operations schedule, wind forecasts
etc).
• The degree to which the SEM design can accommodate multiple gate
closures
SEM Committee Decision (SEM-10_011)
• The compatibility of the Project Co-ordination Group (PCG) target model for
continuous intra-day trading with the SEM design.
• Interactions with explicit forward capacity auction proposals and market
coupling proposals.
• Interactions with dispatch in general and wind dispatch in particular.
• The merits of UIOLI as against UIOSI.
• Bring a proposed Trading and Settlement Code modification, which the
Modifications Committee has recommended, to the SEM Committee by the
end of the third quarter of 2010.
Some of Participants’ Concerns
•
Definition of “Intra-Day Trading” with respect to CMG Compliance
•
Gate Closures – closer to real time, number of Gate Closures
•
Opportunities for all Generators to re-bid in subsequent gates
•
UIOLI vs. UIOSI
Activities since SEM Committee decision
•
RAs raised a Modification (18_10) in March 2010,
proposing the implementation of “intra-day trading”
in the SEM.
•
The Modifications Committee established a
Working Group, which has met on seven
occasions, in addition to a number of conference
calls.
• Widespread involvement from across the industry
• Agreement of working assumptions on all major design
components
•
The key output is the High Level Design Summary,
which documents the working assumptions agreed
at the Working Group.
Summary of Working Groups
•
•
•
•
•
•
•
Working Group #1
•
Introduced Intra-Day Trading, defined Terms of Reference and provided options questionnaire to Participants.
Working Group #2
•
Discussion of questionnaire results and concerns regarding a clear definition of Intra-Day Trading.
Working Group #3
•
Three options proposed by Participants. Actions on RAs/EirGrid TSO to assess options compliance, and
TSO/SEMO to undertake high level impact assessment.
Working Group #4
•
Impact assessment presentation and agreement to proceed with one option (one additional GC on TD-1 & additional
GC on TD), with exact timing to be agreed.
Working Group #5
•
Working assumptions on various issues (Gate Closure timelines, Exchange Rate treatment, COD/TOD submission),
discussion on superposition versus protection and action on Participants to provide feedback on their preference for
UIOLI versus UIOSI.
Working Group #6
•
Agreed working assumptions on a number of issues (Superposition versus protection, MSP Software Run
Contingencies, Data Contingencies, WD1 Trading Window Options and Credit Cover for Interconnector Units).
Outstanding actions on SEMO to consider contingencies for Active Capacity Holdings, consider Capacity Market
exposure as part of Credit Cover proposals, plus to provide impact assessment on TSO Mitigation Options.
Working Group #7
•
Agreed working assumption on the treatment of Capacity exposure in the Credit Cover calculations for
Interconnector Units (extending the principles agreed at Working Group #6). Discussed the treatment of
contingencies for Active Capacity Holdings. Discussed proposed TSO security options, concluding that these
options should be treated separately from the remainder of the Intra-Day design. As such, the TSO security options
should not form part of the High Level Design to be presented to the Modifications Committee.
Intra-Day Trading
Context - Intra-Day Trading Modification
Summary of Intra-Day Trading High Level Design
Central Market Systems : release schedule timelines
Discussion and Vote
Proposed SEM Intra-Day Trading Design:
Three Gate Windows / Trading Windows
OPTIMISATION TIME HORIZON
Trading Day - 1
Trading Day
EA1 Trading Window
EA1
Gate Window
Opening
(GWO)
e.g. as per current
EA1 Interconnector
Unit trades fixed
Gate Window
Closure
(GWC)
EA2 Trading Window
EA2
GWO
Ending Overlap
Opt’n Period
GWC
WD1
Start Overlap
Opt’n Period
GWO
GWC
GATE WINDOW
GATE WINDOW
GATE WINDOW
10:00 TD-29 to 09:30 TD-1
09:30 TD-1 to 11:30 TD-1
11:30 TD-1 to 08:00 TD
Ending Overlap
Opt’n Period
EA1 and EA2
Interconnector Unit
trades fixed
WD1 Trading
Window
Ending Overlap
Opt’n Period
Key timings for Trading Day TD are:
09:30
EA1
GWC
(TD-1)
11:00
EA1
Schedule
(TD-1)
13:00
RCUC DA
GWC
(TD-1)
11:30
EA2
GWC
(TD-1)
13:00
EA2
Schedule
(TD-1)
09:30
RCUC WD
GWC
(TD)
16:00
RCUC DA
Schedule
(TD-1)
08:00
WD1
GWC
(TD)
09:30
WD1
Schedule
(TD)
RCUC WD
Schedule*
(TD)
Proposed SEM Intra-Day Trading Design:
Trading and Settlement
•
Enhanced trading opportunities, recognising the value of explicit capacity
auctions:
Interconnector Capacity Holders
EA1
EA2
WD1







Other Interconnector Users (not Capacity Holders)
Other Generator Units

•
Unused Interconnector capacity from EA1 Trading Window can be
utilised in subsequent Trading Windows.
•
Superposition will allow the physical capacity of Interconnectors to be
observed, whilst enabling trading in excess of the capacity in each
direction (import, export). This provides opportunities to arbitrage and
deliver price efficiencies.
•
Settlement will continue to be Ex-Post, based on Dispatch and
Generator Unit performance against Dispatch. No changes are
proposed to settlement payments or charges.
Summary of EA1, EA2 and WD1 MSP Software Runs
Load/Wind Forecasts
EA1 COD
EA1 TOD (Forecast Availability etc)
EA1 Registration Data & Other TOD
EA1 VTOD set
WD1 (TD-1) Initial Conditions
Load/Wind Forecasts
EA2 COD
EA2 TOD (Forecast Availability etc)
EA1 Registration Data & Other TOD
EA2 VTOD set
WD1 (TD-1) Initial Conditions
Load/Wind Forecasts
EA2/WD1 COD
WD1 TOD (Forecast Availability etc)
EA1 Registration Data & Other TOD
EA2 VTOD set
WD1 (TD-1) Initial Conditions
EA1
EA1 MIUNs
EA1 MSQs, SMPs
Optimisation Time Horizon 06:00 – 11:30
Trading Window 06:00 – 05:30
EA2 MSQs, SMPs
Optimisation Time Horizon 06:00 – 11:30
Trading Window 06:00 – 05:30
EA2
EA1, EA2 MIUNs
WD1
WD1 MSQs, SMPs
Optimisation Time Horizon 06:00 – 11:30
Trading Window 18:00 – 05:30
Starting Gate Window Data
For EA1, Default Data
For EA2, as Accepted at EA1 Gate Window Closure
For WD1, as Accepted at EA2 Gate Window Closure
•
•
•
Contingencies
Summary of contingency rules
•
As Intra-Day timescales are compressed, contingency rules have been
developed to allow timelines to be met where possible.
•
External Input Data:
• Load Forecast / Wind Forecast / ATC – use latest data received
• Active Capacity Holdings (EA1 only) – email and fax from IA (ACHS to be sent as early
•
•
as possible to IA and from IA to MO)
MIUNs – MIUNs from previous run for the same period, else IUNs from previous run
for the same period, else zero.
MSP Software Runs:
• EA1 will not be cancelled.
• EA2 will be cancelled if the EA1 MSP Software Run has not started by 30 minutes
•
•
after the EA1 Gate Window Closure
EA2 will be cancelled run if the EA2 MSP Software Run has not started by 30 minutes
after the EA2 Gate Window Closure
WD1 will be cancelled if the WD1 MSP Software Run has not started by 30 minutes
after the WD1 Gate Window Closure
Proposed SEM Intra-Day Trading Design:
More trade-reflective Credit Cover for Interconnector Units
•
Current credit cover arrangements for all
Generator Units are based on historical trends.
•
Currently does not adequately address situations
where there are shifts in Interconnector User
trading (e.g. importing to exporting). This leaves
the market exposed when there are trend shifts to
exporting (i.e. monies owed to SEM).
-500
•
With increased Interconnector capacity and
superposition (trading in excess of physical
Interconnector) capacity, the SEM could be
seriously exposed by unlicensed Participants.
•
Proposed changes such that Interconnector Unit
Credit Cover is based on traded and offered
volumes/prices, removing the need for historical
trend analysis.
+500
Interconnector capacity is expected to rise:
Total Demand
Interconnector Export Capacity
% of Total Installed Capacity
2010
2013
6,407MW
6,784MW
80MW
1,000MW
1%
15%
Intra-Day Design: Elements of Credit Exposure Calculation
(Energy Market)
Now
7 days
7 days
Invoiced
Settled Traded
Offered
Where:
Invoiced
Amounts invoiced and payment outstanding (netted)
Settled
Amounts calculated but not yet invoiced (netted)
Traded
Amounts calculated based on traded values where not Settled (i.e.
between D+1 and D+4), based on export MIUNs and PQ Pairs Accepted.
Offered
The maximum export exposure (in respect of Energy Charges) is implied
by a set of Price Quantity Pairs submitted to a particular Gate Window
(export component rejected after Gate Window Closure if insufficient
Credit Cover in place).
Intra-Day Design: Elements of Credit Exposure Calculation
(Capacity Market) - 1
Now
Invoiced
Where:
Invoiced
Settled
Traded
(Energy Settled)
Settled
Traded
Traded (Energy
(Energy Settled)
Not Settled)
Offered
Amounts invoiced and payment outstanding (netted)
Note: As Capacity
Payments/Charges are
settled on a monthly
basis, the length of the
Invoiced, Settled and
Traded periods will
depend on the day on
which the Credit Cover
calculation is performed
(this is the same as the
current market design).
Amounts calculated but not yet invoiced (netted)
Capacity amounts calculated based on net traded volumes where
Capacity is not Settled (i.e. Initial Capacity Settlement is not completed)
but the Initial Energy Settlement is completed, using the forecast
Capacity Payments Generation Price, CPGP (netted).
Intra-Day Design: Elements of Credit Exposure Calculation
(Capacity Market) - 2
Now
Invoiced
Where:
Traded
(Energy Not Settled)
Offered
Settled
Traded
Traded (Energy
(Energy Settled)
Not Settled)
Offered
Note: As Capacity
Payments/Charges are
settled on a monthly
basis, the length of the
Invoiced, Settled and
Traded periods will
depend on the day on
which the Credit Cover
calculation is performed
(this is the same
currently).
Amounts calculated based on export traded volumes where Capacity is not
Settled (i.e. where Initial Capacity Settlement has not been completed) and
where Initial Energy Settlement is not complete, based on the Quantities
as part of a set of Price Quantity Pairs submitted to a particular Gate
Window and a forecast Capacity Payments Generation Price.
The maximum exposure (in respect of Capacity Charges) is as implied by
the Forecast Capacity Payments Generation Price and the export
Quantity as part of a set of Price Quantity Pairs submitted to a particular
Gate Window (bids implying export would be rejected after Gate Window
Closure if insufficient Credit Cover in place, however bids implying import
would be retained).
Intra-Day Design: Example Credit Cover Reporting
08:00
09:30
WD1
trading
11:00 11:30
EA1
trading
13:00
14:30 *
17:00
EA2
trading
Interim Credit Cover Report produced
• Will utilise the Full Credit Cover report
from the previous day.
• Provides an update to available Credit
Cover as a result of trading within the
WD1 and EA1 Trading Windows.
• Will not include SRAs, payments,
settled amounts (included in the Full
Credit Cover Report).
Full Credit Cover Report produced
• Will calculate the Required Credit
Cover based on:
•
•
•
•
Invoice Payments
Amounts Settled
Accepted Settlement Reallocations
Amounts Traded
* Delivery of a Full Credit Cover Report at 14:30 is dependent on automating various SEMO processes as part of the
Detailed Design.
Proposed SEM Intra-Day Trading Design:
Benefits
•
SEM Intra-Day Trading will deliver compliance and regulatory intent:
• Implementation in line with SEM Committee Decision on Intra-Day Trading
• Compliance with EU Congestion Management Guidelines
•
Opportunity for greater utilisation of infrastructure (Moyle and EWIC),
closer to real time.
•
Greater competition through increased trading opportunities (including
superposition), with reduced trading risks (more opportunities to alter
trading positions).
•
Greater Generator Unit cost-reflective bidding (bringing market timelines
closer to fuel purchase timelines).
Proposed SEM Intra-Day Trading Design:
Approvals
•
If the Modifications Committee and SEM Committee endorse the
approach taken and principles developed, SEMO will develop a detailed
plan for presentation to the January 2011 meeting of the SEM
Committee
Intra-Day Trading
Context - Intra-Day Trading Modification
Summary of Intra-Day Trading High Level Design
Central Market Systems : release schedule timelines
Discussion and Vote
SEM R2.0.0 – Intra-Day Trading
Provisional High Level Sequence of Events and Time Lines
28/01/2011
User Requirements Signoff
29/11/2010
Start Detailed Reqs
25/02/2011
Design sign off
29/07/2011
Vendor Delivery
08/07/2011
ABB Start Integration
Testing
20/01/2012
Complete SIT
16/03/2012
Complete MT
23/03/2012
Deployment
26/08/2011
Complete SAT
16/11/2010
WG7 - Intra-Day
Nov
Dec
Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
Jan
Feb
Mar
Apr
01/10/2010
30/04/2012
02/11/2010
WG6 - Intra-Day
SEM R2.0.0
25/11/2010
Mods Cmte
25/01/2011
SEM Cmte
Assumptions
1. No resource constraints
2. High level design is agreed by 16th November 2010 (WG7)
3. Detailed requirements definition starts on 29th November and continues in parallel with Mod discussions
4. SEM Committee will endorse proposed Modification (no changes on that discussed at Mods Committee)
4. Vendor Delivery date is based on current high level requirements
5. Can start design before SEM committee sign off
Requirements
Design
Vendor Implementation (Code/Unit test)
Vendor Integration Test
Test Phase
SAT/FAT: Factory Acceptance Test
SIT : System Integration Test
Functional Testing
Performance Testing
OAT
UAT
DR
TSO/IA
RCUC
Market Engine Recertification
MT : Market Test
Deployment
Duration
16 Weeks
4 Weeks
19 Weeks
3 Weeks
4 Weeks
21 Weeks
8 Weeks
1 Week
SEM R2.0.0 – Intra-Day Trading - 2 Releases + Intra-Day
+ technical milestones
Provisional High Level Sequence of Events and Time Lines
29/11/2010
Start Detailed Reqs
(Functional)
16/03/2012
Complete MT
25/02/2011
Design sign off
19/11/2010
SEM R1.8.0
Deployment
29/04/2011
SEM R1.9.0
Deployment
28/01/2011
Final URS Signoff
Nov
Dec
Jan
Feb
Mar
20/01/2012
Complete SIT
29/07/2011
Vendor Delivery
23/03/2012
SEM R2.0.0
Deployment
26/08/2011
Complete SAT
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
Jan
Feb
Mar
01/10/2010
31/03/2012
01/03/2011
Hardware Delivery on-site
17/12/2010
Complete Technical
Design (H/W)
11/10/2010
Start Technical
Design (H/W)
29/07/2011
IPT and PT Refresh
Commissioned
13/01/2012
MPCert Refresh
Commissioned
Mar
Production Refresh
Commissioned
04/01/2011
Place Hardware Order
* SIT Comprises: Functional Testing, Performance Testing, TSO /IA / MDP, OAT, DR, RCUC and UAT
Assumptions
1. No resource constraints
2. High level design is agreed by 16th November 2010 (WG7)
3. Detailed requirements definition starts on 29th November and continues in parallel with Mod discussions
4. SEM Committee will endorse proposed Modification (no changes on that discussed at Mods Committee)
4. Vendor Delivery date is based on current high level requirements
5. Can start design before SEM committee sign off
Technical Requirements
1. Data Centres will be upgraded in time to meet the hardware delivery dates
2. Technical redesign of infrastructure
3. Hardware Component replacement (all)
4. Network components (switches, load balancers, SUN ONE webservers, routers, firewalls)
5. Operating System upgrades (Windows, Unix & Linux)
6. All third-party software (e.g. FTP, JBOSS, Tomcat etc.)
7. ORACLE components: Oracle RDBMS 11g, ORACLE ASM, Auditing, Linux, ABB archiving
8. Website upgrade
Central Market Systems Release Schedule
•
•
The Release Cut-Off Date for the October 2011 scheduled release is:
Friday 18th February 2011
Currently submitted Modification Proposals that have a systems impact:
Mod Ref
•
•
Current Status
Description
Mod_65_08
Deferred – IA received
Generator Unit Short Term Test Status
Mod_12_09
Approved for April 2011
Loss Adjustments in Constraints and Make Whole Payments
Mod_34_09
Approved for April 2011
Global Settlement
Mod_46_09
Approved for April 2011
Treatment of UIs in Pumped Storage Units when Pumping
Mod_04_10
Deferred
Addition of Fuel Use Flag to Dispatch Instruction transaction
Mod_18_10
Deferred
Intra-Day Trading
Mod_37_10
Deferred – no IA requested
Constraint Payment for Energy Limited Units
Mod_39_10
Approved for April 2011
Change from 7_12 to enduring 4_91 NDLFeh calc
Mod_40_10
New – no IA requested
Differentiation between Dwell Times and Dwell Trigger Points while ramping up and ramping
down
Mod_42_10
New – no IA requested
Changes to the Single Ramp Up Rate and the Single Ramp Down Rate calculation
Mod_43_10
New – no IA Requested
Variable Price Taker Generation Units and Firm Access
All approved Mods have been scheduled for implementation in April 2011.
Based on the Modifications meeting schedule, it appears that few Modification
Proposals will be approved by the SEM Committee in advance of the release
cut-off date (e.g. Mod_65_08).
Change Control
•
Before approving changes with systems impacts to be progressed in parallel with
Intra-Day Trading, there should be careful consideration by the Modifications
Committee of the options for implementation and associated impacts.
•
Option 1: Continue with scheduled October 2011 release
•
•
•
•
Introduces more complexity and risk
Impacts on proposed schedule and cost for Intra-Day Trading
Option 2: Include Approved Modifications in Intra-Day release
•
•
Would be subject to strict Change Control.
Would impact on the overall schedule, subject to:
•
•
•
•
Scale and impact of the change;
Vendor and SEMO resource constraints;
Infrastructure constraints; and
SEM Committee approval.
Option 3: Include in release after Intra-Day Trading release
•
•
Approved changes will be included in the next release, where capacity is available.
This is as per the current process.
Intra-Day Trading
Context - Intra-Day Trading Modification
Summary of Intra-Day Trading High Level Design
Central Market Systems : release schedule timelines
Discussion and Vote
EA1, EA2 and WD1 have dependencies
Hence, run contingencies are required
09:30
RCUC WD
GWC
(TD)
08:00
WD1
GWC
(TD)
09:30 WD1
Schedule (TD)
09:30 EA1
GWC (TD-1)
11:00*
RCUC WD
Schedule
(TD)
13:00
RCUC DA
GWC
(TD-1)
11:30
11:00
EA2
EA1
Schedule GWC
(TD-1) (TD-1)
13:00
EA2
Schedule
(TD-1)
16:00
RCUC DA
Schedule
(TD-1)
GWC
WD1
GWO (EA2)
Schedule
Publish
GWC
EA1
Schedule
Publish
GWO (TD-29)
GWC
EA2
GWO
Schedule
Publish
DA-RCUC
GWC
Schedule
Publish