NWE Price Coupling – Market Preparation

21/01/2014
Belpex Communication
NWE Price Coupling – Market Preparation
Key Points

Update: NWE Price Coupling Go-live 4 February 2014 confirmed

Launch of Smart Orders: Linked & Exclusive Block Orders

Change to price caps in NWE region

Update: Automatic Order Submission Tool to submit orders in XML format to go live as
soon as possible

Member Testing for NWE Price Coupling, Smart Orders & Automatic Order Submission
prolonged to 31 January 2014

Summary of changes to Market Rules & Procedures
NWE Price Coupling – Market Preparation
Launch of North-Western Europe Price Coupling
The launch of the NWE Price Coupling solution is targeted for 4 February 2014, for delivery day 5
February 2014.
The North-West Europe (NWE) Price Coupling mechanism will replace the Day-Ahead Central
Western European (CWE) Market Coupling, the CWE-Nordic Interim Tight Volume Coupling and
APX’s embedded solution to couple GB to the continent via the BritNed cable. The Interconnexion
France Angleterre (IFA) day-ahead capacity will be included within the project and the two GB Hubs
will be connected via a virtual interconnector forming a Virtual Hub.
This text is intended to give Belpex Participants an overview of all changes that will impact market
parties with the launch of NWE Price Coupling.
Changes from the previous version of the Communication have been identified as updates in the
text below.
Summary of changes
The main changes to the Belpex Day-Ahead Market (DAM) following the implementation of the
NWE Price Coupling will be:

Publication of preliminary results before they become firm;

Operational procedures: timings and fall-back procedures will change;

Available products: Linked & Exclusive Block Orders will be introduced on the Belpex DAM;

The minimum price will be -500 €/MWh and the maximum price will 3000 €/MWh
o

Important Update: normally, DAM orders can be submitted 14 days prior to
delivery. To avoid problems with orders submitted at -3000 €/MWh for delivery
days after NWE go-live, orders for delivery date 5 February 2014 (and later) will
not be available before the outage on 4 February 2014. Details on the outage will
be communicated later;
Modifications to Market Rules & Market Procedures to reflect the above changes.
There will be no changes to the EuroLight® Trading Platform. EuroLight 6 already supports the
introduction of the new order types; this functionality will be activated on the Production environment
with the Go-live of NWE Price Coupling and will as of then be available for Participants. The
functionality has already been activated on the Member Testing environment.
Market Preparation
Information sessions
To inform and prepare market parties, several information sessions were organised in October
2013. The slides of the Belgian, Dutch and UK presentations are available on the APX and Belpex
websites. Videos are available of the UK session.
http://www.belpex.be/services/research-projects/nwe-price-coupling/
http://www.apxgroup.com/services/research-projects/nwe-price-coupling/
Member Testing for new order types
Until 31 January 2014, Belpex will organise test auctions on the Member Test environment:

The new order types will be available for these Member Testing sessions;

Order entry from 13:00 CET;

Auctions run at 15:00 CET;

Results available at 16:00 CET at the latest;

Publication of results will be announced by means of a breaking message in EuroLight (test
environment).
EuroLight Member Testing environment
The Member Testing environment is available via the following IP address:

APX Power NL / Belpex: 194.178.46.40.
Automatic Order Submission Tool
Belpex have developed a tool to allow Participants to submit orders using XML files, called
“EuroLight® Automatic Order Submission Tool”.
Update: The Automatic Order Submission Tool will be available in production as soon as possible.
Details about the go-live will be communicated at a later stage.
An updated manual with the specifications of this new tool is available for download in the Member
Area on www.belpex.be. This manual should allow you to produce xml files in the required format
and use this new functionality.
The updated Annex 4 of the attached User Procedure can be used as of now to request access to
the Automatic Order Submission Tool.
Member Testing of Automatic Order Submission Tool
The EuroLight Automatic Order Submission Tool is still available for testing on the above mentioned
Member Testing environments.
Please note that the Smart Orders functionality will only be available following the Go-live of NWE
Detailed overview of changes
Operational timings, gate closure time & publication of results
As a result of the new systems and mechanisms used for the NWE Price Coupling, new timings will
apply, on normal days and in case of special circumstances, such as 2 nd Auction or (partial)
decoupling. These timings will be harmonised across all NWE markets:

The Gate Closure Time for the Belpex DAM will remain 12h00 CET;

Preliminary market results will be published at 12h42 CET;
o

These preliminary results are still subject to change or cancellation, until
confirmation that they are firm at 12h55 CET;
At 12h55 CET the final market results will be published.
Details about the timings for all possible operational scenarios are included in the presentation
material from the information sessions (see above).
New order types
The Euphemia algorithm used for NWE Price Coupling allows the introduction of new order types:

Linked & Exclusive Block Orders will be introduced on the Belpex DAM;

All Block Orders types are subject to restrictions which are described below.
The following execution conditions will apply to these order types:


A Block Order may only be executed in the event:
o
The Block Order volume indicated per Instrument can be executed for every
Instrument the Block Order relates to (volume condition)1; and
o
The volume weighted average price of the Instruments the Block Order relates to
is lower than or equal to the limit price of the Block Order in case of an Purchase
Order, or is higher than or equal to the limit price of the Block Order in case of a
Sell Order (income condition).
The following restrictions apply at NWE Go-live:
o

1

the maximum Block Order volume is 400 MW;

the maximum volume submitted in Block Orders is 2500 MWh per
Instrument per Participant;
Linked Block Orders can only be executed if another previously identified Block Order (the
“Parent” Block Order) is executed;
o
The above Block Order execution conditions apply;
o
Both Buy and Sell Orders can be linked;
o
The new auction algorithm will consider the entire “Family” of Linked Block Orders.
Parent Block Orders that do not meet the above income condition can be accepted
as part of the Family, or as a subset of the Family, where the Family or Subset of
the Family can be executed without generating a loss.
o
Linked Block Orders are subject to the following restrictions:
o

Belpex – no change:

maximum 5 Linked Families per Participant;

maximum 3 “Generations”, i.e. maximum 3 levels of depth in Linked
Families;

maximum 7 Block Orders per Linked Family;
Update: The volume of Linked Block Orders will not be considered together with
normal Block Orders when verifying the maximum volume submitted in Block
Orders per Instrument per Participant;
From a set of Block Orders within the same Exclusive Group only one Block Order can be
accepted.;
o
The above Block Order execution conditions apply.
o
Exclusive Block Orders are subject to the following restrictions:
Block Orders are subject to an “All or None” constraint; hence a Block Order may not be
matched if matching it would push it out of the money (paradoxically rejected block PRB).
o

maximum 5 Exclusive Groups per Participant;

maximum 8 Block Orders per Exclusive Group;
Update: The volume of Exclusive Block Orders will not be considered together
with normal Block Orders when verifying the maximum volume submitted in Block
Orders per Instrument per Participant.
The new auction algorithm, named Euphemia, will select which Block Orders will be executed based
on a maximisation of total welfare. For details, please refer to the algorithm description which is
available on http://www.belpex.be/services/research-projects/nwe-price-coupling/.
Price caps
The price caps in the NWE region will be harmonised. The minimum price will be -500 €/MWh and
the maximum price will 3000 €/MWh.
Important Update: normally, DAM orders can be submitted 14 days prior to delivery. To avoid
problems with orders submitted at -3000 €/MWh for delivery days after NWE go-live, orders for
delivery date 5 February 2014 (and later) will not be available before the outage on 4 February
2014. Details on the outage will be communicated one week before go-live.
Price thresholds for Second Auction
If, for at least one instrument, a clearing price is calculated that is outside certain price thresholds,
this will lead to the running of a Second Auction: a message is sent out indicating the reasons for
triggering the Second Auction, the order books are reopened for 10 minutes and upon closing a
new auction is run.

The threshold to trigger a Second Auction in the CWE region will remain -150 €/MWh and
500 €/MWh.

Order books of a specific price area will be re-opened:
o
When a local price exceeds the thresholds, or;
o
When a Second Auction is triggered in a (partially) coupled price area.
Updates to Market Rules
Update: The Market Rules and Market Procedures have been modified to reflect the above
changes.
The Belpex Market Rules have already been communicated on 21 October 2013 and are available
on the Belpex website.
Please find the updated Market Procedures attached to the e-mail accompanying this
Communication. The updated documents are also available via www.belpex.be.
The below changes have been made to the Market Procedures. The implementation date will be 4
February 2014.


Market Segment Procedure:
o
Availability Linked & Exclusive Block Orders for DAM confirmed;
o
Changes to operational procedures and timings;
o
Changes regarding rollback;
o
Changes regarding matching algorithms;
User Procedure:
o
Changes regarding implementation of Automatic Order Submission Tool;
o
Changes regarding Linked & Exclusive Block Orders;
o
Possibility to use XML files for Trading on Behalf procedure;
o
Changes to contact information.
Contact details
If you have any questions, please feel free to contact any of the following:
Commercial enquiries
Joost Busschaert | Account Manager
E [email protected] | T +32 (0) 2 403 4662 | M +32 (0) 478 257 608
Natasa Miljus | Account Manager
E [email protected] | T +31 (0) 20 305 4077 | M +31 (0) 655 80 44 76
Kate Turner | Account Manager
E [email protected] | T +44 (0) 115 921 7423 | M +44 (0) 777 475 1201
John Farthing | Training & Account Manager
E [email protected] | T +44 (0) 207 841 5653| M +44 (0) 788 799 2489
Operational enquiries
Customer Service Desk
E [email protected] | T +32 (0) 2 403 4680

Download Report