Spot Market Data Analysis in Trade Monitoring
Trade monitoring of energy spot markets presents a challenge. Energy spot markets in electricity and natural gas are those markets where the traded contracts are for delivery during the current day or for the next (calendar) day. Spot markets come in several forms including spot auctions, continuously traded spot markets and balancing markets and mechanisms. The differences between continuous spot and (continuous) forward/future markets can be characterised by comparing certain metrics, for instance: volatility, order to trade ratios, order lifetime and trading activity (transaction rate). Spot markets and forward/futures markets, to some extent, serve different purposes.
Spot markets generate significantly more data compared to forward/future markets; but more concerningly the data generated does not always seem to fit the abuse pattern analysis that has been developed and which works well for forward/future markets. An initial investigation of the underlying issues related to spot market data and automated trade monitoring is presented in a White Paper which you can download here.
Spot Market Data Group
We have established a Spot Market Data group for members of the energy trading industry who work in spot data analysis and/or trade compliance and who have an interest in spot data analysis. Currently this group has over 45 members representing more than 35 companies.
Who is it for?The Spot Market Data group is for Equias clients who use our product(s) eRR and/or eTM and anyone else involved in compliance and trade data monitoring with an interest in European energy spot market monitoring.
What is the task of the members?We ask that members provide their expertise and contribute their opinions regarding European energy spot data trading and monitoring. We will also ask them to review the analysis presented by Equias and invite them to make suggestions regarding analytical methods/techniques that they believe may be relevant for inclusion in the analysis and useful for consideration by the group. Finally we ask the members to evaluate the application of analysis techniques to trade monitoring for certain abuse patterns in order to determine the applicability of various techniques to practical trade monitoring scenarios.
How often will meetings/webinars take place?Depending on the amount of effort required to progress the analysis between meetings, we will aim to organize meetings/webinars on the basis of 6 weeks – 2 months between October 2020 and June 2021.
Is there a membership fee?There is no charge for becoming a member of the Spot Market Data group, the aim is to build understanding of spot market behaviour, analysis and trade monitoring approaches.
Is your organisation an eRR/eTM client and interested in joining the discussion on spot market data analysis? Send an email to firstname.lastname@example.org
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Energy Spot Market Data in Trade Monitoring
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