Modifications Committee Mod_18_10: Intra-Day Trading 25 November 2010.

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

• 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 interconnections2) 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.

Why Intra-Day Trading?

• 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.

SEM Committee Decision (SEM-10_011)

• 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

Some of Participants’ Concerns

• 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.

Activities since SEM Committee decision

• 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.

Summary of Working Groups

Intra-Day Trading




Discussion and Vote

Proposed SEM Intra-Day Trading Design:Three Gate Windows / Trading Windows

Start Overlap Opt’n Period

Trading Day - 1 Trading Day

Gate Window Closure(GWC)

EA1

Gate Window Opening(GWO)e.g. as per current

GWC

EA2

GWO

GWC

WD1

GWO

GATE WINDOW10:00 TD-29 to 09:30 TD-1

GATE WINDOW09:30 TD-1 to 11:30 TD-1

GATE WINDOW11:30 TD-1 to 08:00 TD

EA1 Trading Window

EA2 Trading Window

WD1 Trading Window

Ending OverlapOpt’n Period



EA1 Interconnector Unit trades fixed

EA1 and EA2 Interconnector Unit trades fixed

OPTIMISATION TIME HORIZON

Key timings for Trading Day TD are:

08:00WD1GWC(TD)

09:30WD1

Schedule(TD)

09:30EA1GWC(TD-1)

11:00EA1

Schedule(TD-1)

11:30EA2GWC(TD-1)

13:00EA2

Schedule(TD-1)

13:00RCUC DA

GWC(TD-1)

16:00RCUC DASchedule

(TD-1)

09:30RCUC WD

GWC(TD)

RCUC WDSchedule*

(TD)

• Enhanced trading opportunities, recognising the value of explicit capacity auctions:

Proposed SEM Intra-Day Trading Design:Trading and Settlement

• 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.

EA1 EA2 WD1

Interconnector Capacity Holders

Other Interconnector Users (not Capacity Holders)

Other Generator Units

Summary of EA1, EA2 and WD1 MSP Software Runs

EA1

EA2

WD1

Load/Wind Forecasts

EA1 COD

EA1 TOD (Forecast Availability etc)

EA1 VTOD setEA1 MIUNs

Load/Wind Forecasts

EA2 COD

EA2 TOD (Forecast Availability etc)

EA2 VTOD set

Load/Wind Forecasts

EA2/WD1 COD

WD1 TOD (Forecast Availability etc)

EA2 VTOD set

EA1 MSQs, SMPsOptimisation Time Horizon 06:00 – 11:30Trading Window 06:00 – 05:30

EA1, EA2 MIUNs

EA2 MSQs, SMPsOptimisation Time Horizon 06:00 – 11:30Trading Window 06:00 – 05:30

WD1 MSQs, SMPsOptimisation Time Horizon 06:00 – 11:30Trading Window 18:00 – 05:30

WD1 (TD-1) Initial Conditions



EA1 Registration Data & Other TOD



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

ContingenciesSummary 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).

• 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

+500

-500

+500

Interconnector capacity is expected to rise:

2010 2013

Total Demand 6,407MW 6,784MW

Interconnector Export Capacity 80MW 1,000MW

% of Total Installed Capacity 1% 15%

Intra-Day Design: Elements of Credit Exposure Calculation(Energy Market)

Invoiced Settled Traded

Now

Amounts invoiced and payment outstanding (netted)

Amounts calculated but not yet invoiced (netted)

Offered

Invoiced

Settled

Traded

Offered

Where:

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.

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).

7 days 7 days

Intra-Day Design: Elements of Credit Exposure Calculation(Capacity Market) - 1

Invoiced Settled Traded (Energy Settled)

Now

Amounts invoiced and payment outstanding (netted)

Amounts calculated but not yet invoiced (netted)

Offered

Invoiced

Settled

Traded (Energy Settled)

Where:

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).

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).

Traded (Energy Not Settled)

Intra-Day Design: Elements of Credit Exposure Calculation(Capacity Market) - 2

Invoiced Settled Traded (Energy Settled)

Now

Offered


Offered

Where:

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).

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).


Intra-Day Design: Example Credit Cover Reporting

08:00 09:30 11:00 11:30 13:00 14:30 * 17:00

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.

WD1 trading

EA1 trading

EA2 trading

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




Discussion and Vote

01/10/2010 30/04/2012

Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr

SEM R2.0.0 – Intra-Day TradingProvisional High Level Sequence of Events and Time Lines

02/11/2010WG6 - Intra-Day

25/11/2010Mods Cmte

25/01/2011SEM Cmte

28/01/2011User Requirements Signoff

20/01/2012Complete SIT

16/03/2012Complete MT

23/03/2012Deployment

29/11/2010Start Detailed Reqs

29/07/2011Vendor Delivery

SEM R2.0.0Duration

Requirements 16 WeeksDesign 4 WeeksVendor Implementation (Code/Unit test) 19 WeeksVendor Integration Test 3 Weeks

Test PhaseSAT/FAT: Factory Acceptance Test 4 WeeksSIT : System Integration Test 21 Weeks

Functional TestingPerformance TestingOATUATDRTSO/IARCUCMarket Engine Recertification

MT : Market Test 8 WeeksDeployment 1 Week

25/02/2011Design sign off

26/08/2011Complete SAT

08/07/2011ABB Start Integration

Testing

Assumptions1. 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

16/11/2010WG7 - Intra-Day

01/10/2010 31/03/2012

Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar

SEM R2.0.0 – Intra-Day Trading - 2 Releases + Intra-Day + technical milestones

Provisional High Level Sequence of Events and Time Lines

25/02/2011Design sign off

28/01/2011Final URS Signoff

20/01/2012Complete SIT

16/03/2012Complete MT

23/03/2012SEM R2.0.0 Deployment

29/11/2010Start Detailed Reqs

(Functional)

29/07/2011Vendor Delivery

26/08/2011Complete SAT

29/07/2011IPT and PT Refresh

Commissioned

11/10/2010Start Technical Design (H/W)

13/01/2012MPCert Refresh Commissioned

MarProduction Refresh

Commissioned

01/03/2011Hardware Delivery on-site

04/01/2011Place Hardware Order

17/12/2010Complete Technical

Design (H/W)



Technical Requirements1. Data Centres will be upgraded in time to meet the hardware delivery dates2. Technical redesign of infrastructure3. 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 archiving8. Website upgrade

* SIT Comprises: Functional Testing, Performance Testing, TSO /IA / MDP, OAT, DR, RCUC and UAT

Assumptions1. 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

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

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:

• 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




Discussion and Vote

EA1, EA2 and WD1 have dependenciesHence, run contingencies are required

WD1GWO (EA2)

GWC

EA1GWO (TD-29)

GWC

EA2GWC

DA-RCUCGWC

SchedulePublish

SchedulePublish

SchedulePublish

SchedulePublish

GWO

08:00WD1GWC(TD)

09:30 WD1Schedule (TD)

09:30 EA1 GWC (TD-1)

09:30RCUC WD

GWC(TD)

11:00*RCUC WDSchedule

(TD)

11:00EA1

Schedule(TD-1)

11:30EA2

GWC(TD-1)

13:00EA2

Schedule(TD-1)

13:00RCUC DA

GWC(TD-1)

16:00RCUC DASchedule

(TD-1)

Modifications Committee Mod_18_10: Intra-Day Trading 25 November 2010.

Documents

Transcript of Modifications Committee Mod_18_10: Intra-Day Trading 25 November 2010.