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Interim Intraday Products Proposal for I-

SEM Go-Live: SEMOpx Response

October 2017

Interim Intraday Products Proposal Response

© EirGrid 2017. Commercial In Confidence. Page i

Contents

Contents ......................................................................................................................................................................... i

1 Executive Summary ............................................................................................................................................... 1

2 Introduction ........................................................................................................................................................... 4

3 SEMOpx Interim Intraday Design ........................................................................................................................... 5

4 Scope of assessment and recommendation .......................................................................................................... 5

5 Assessment Criteria ............................................................................................................................................... 5

6 Initially explored options ....................................................................................................................................... 6

6.1 Auction Option 1 - Simple Orders only for Intraday Auctions ...................................................................... 6

6.2 Auctions Option 2 - Full Range of Products Available for Intraday Auctions ............................................... 7

6.3 Intraday Continuous Option 1 - Full Range of Products for Continuous Market ......................................... 8

7 Feedback Received on Auctions ............................................................................................................................ 8

7.1 Use of intraday auction 1 as a fallback for the day-ahead market .............................................................. 8

7.1.1 Summary of Feedback .................................................................................................................................. 8

7.1.2 Assessment .................................................................................................................................................. 9

7.2 References to EUPHEMIA trial market outcomes ........................................................................................ 9

7.2.1 Summary of Feedback .................................................................................................................................. 9

7.2.2 Assessment ................................................................................................................................................ 10

7.3 Requirement for cost recovery and unit commitment .............................................................................. 10

7.3.1 Summary of Feedback ................................................................................................................................ 10

7.3.2 Assessment ................................................................................................................................................ 10

7.4 Effect of availability of products on intraday auction liquidity .................................................................. 11


© EirGrid 2017. Commercial In Confidence. Page ii


7.4.2 Assessment ................................................................................................................................................ 11

7.5 Completeness of options explored ............................................................................................................ 11


7.5.2 Assessment ................................................................................................................................................ 12

7.6 Need for dedicated analysis work .............................................................................................................. 12


7.6.2 Assessment ................................................................................................................................................ 12

8 Feedback received on intraday continuous ......................................................................................................... 12

9 Constraints ........................................................................................................................................................... 13

9.1 System Constraints ..................................................................................................................................... 13

9.2 Discussions with GB Stakeholders .............................................................................................................. 13

10 Summary .............................................................................................................................................................. 13

11 Conclusion ........................................................................................................................................................... 14

12 Next Steps ............................................................................................................................................................ 14

Appendix A: Description of Products for Day-Ahead and Intraday Auctions .............................................................. 15

Simple Orders .......................................................................................................................................................... 15

Complex Orders ....................................................................................................................................................... 15

Block Orders ............................................................................................................................................................ 16

Linked Block Orders ................................................................................................................................................. 16

Exclusive Group Orders ........................................................................................................................................... 16

Appendix B: Description of Products for Intraday Continuous Market ....................................................................... 16


© EirGrid 2017. Commercial In Confidence. Page iii

Simple Orders .......................................................................................................................................................... 16

Fill or Kill Orders ...................................................................................................................................................... 17

Immediate or Cancel ................................................................................................................................................ 17

Good til Date ............................................................................................................................................................ 17

Iceberg Order ........................................................................................................................................................... 17

Block Orders ............................................................................................................................................................ 17

Appendix C: Information on wind quantity differences .............................................................................................. 18


© EirGrid 2017. Commercial In Confidence. Page 1

1 Executive Summary

In January 2017, SEMOpx produced an interim intraday products proposal paper outlining their view on the

preferred option for intraday products on both the SEMOpx auctions and continuous market for I-SEM go-live.

Following this, SEMOpx opened a period of industry consultation with a deadline of 28/02/2017. A number of

responses were submitted to SEMOpx. Following due consideration of the feedback received, this document

outlines SEMOpx’s final view on the products appropriate for the SEMOpx interim intraday markets for I-SEM go-

live.

The original proposal outlined a preferred position of SEMOpx for the auction and continuous products namely

that:

Auctions should offer simple orders only; and

The continuous market should offer the full range of products available.

The proposal that auctions would use simple orders only was based primarily on concerns of SEMOpx that if

liquidity in these auctions were low, there may be a risk to volatile pricing outcomes of using block order products.

Additionally, SEMOpx noted the assumption that the level of unit commitment required in the intraday auctions

would be low due to the level of the unit commitment which is expected in the day-ahead market.

While supportive of the proposal relating to the continuous market products, respondents raised a number of

concerns in relation to the proposal to offer only simple orders in the SEMOpx interim intraday auctions. The main

areas of concern of participants related to:

The use of intraday auction 1 (IDA1) as a fallback for the day-ahead market;

References to EUPHEMIA trial market outcomes;

Assumptions used relating to the requirement for unit commitment in the intraday timeframe;

Effects of the availability of products on intraday auction liquidity;

Completeness of options explored; and

The lack of a dedicated analysis or trial activity to provide support for the decision.

SEMOpx noted that the use of IDA1 as a fallback relates only to the decision of the interconnector TSOs to use this

as a fallback for the pricing of financial transmission rights (FTRs) and that local arrangements will be used to

produce market outcomes for the day-ahead market in a fallback event. Accordingly, SEMOpx feel that the use of

this market segment for this purpose by the TSOs should not have a direct influence on the appropriateness of the

products offered.

As regards dedicated analysis or trial activity to support the decision, SEMOpx noted within the interim intraday

products proposal that no such activity would take place and the decision would need to take place within this

context. While the concern is acknowledged, SEMOpx note that this in line with both the constraints surrounding

the design and implementation of the interim intraday market for I-SEM go-live and the level of analysis performed

for design decisions relating to other market segments of the I-SEM.



All other points were considered in scope and after a review of the participant responses, SEMOpx have come to

the conclusion that:

Respondents did not feel a change was required to the products as originally proposed for the intraday

continuous market;

Respondents have concerns that the preferred solution outlined in the interim intraday products proposal

will lead to lower liquidity in the SEMOpx intraday auctions with negative consequences;

The assumptions used in the interim intraday products proposal regarding the level of unit commitment

required in the intraday timeframe reflected a lower than expected level of unit commitment;

Respondents are of the view that any potential volatile market outcomes referred to from the I-SEM

EUPHEMIA trial could be mitigated over time with increased understanding of the market, if they are

given access to a range of products;

Due to respondents concerns about their ability to represent their cost and technical characteristics,

especially those relating to unit commitment, more products offering a higher level of flexibility than

simple orders in isolation are required for the SEMOpx intraday auctions; and

In keeping with the principles of the SEMOpx day-ahead market, and in the absence of a consensus view

on the best intermediate approach (i.e. one offering more than simple orders but less than the full range

of products) in the response, a full range of products should be offered in the SEMOpx intraday auctions.

Accordingly, and accepting that certain products cannot be implemented for I-SEM go-live due to system

implementation constraints, SEMOpx is of the view that the, in principle, the intraday auctions should offer as

many products from the day-ahead market as possible. However, implementation constraints exist, that include:

Functionality to support 30 minute complex orders will not be available until after go-live; and

Lack of agreement on the inclusion of block orders at a regional level.

Consequently, only simple orders will be offered in the SEMOpx intraday auctions for I-SEM go-live. SEMOpx will

endeavour to provide further products as soon as possible following go-live.

While this does not provide the preferred functionality for I-SEM go-live for the intraday auctions, SEMOpx notes

that the concerns of respondents are best addressed across market segments. Differing ranges of products are

available in the day-ahead market and the intraday continuous market and these can be used in combination with

the products available in the intraday auctions to allow participants to mitigate the risks they face in the SEMOpx

markets.

SEMOpx is of the view that the following products should be made available in the interim intraday SEMOpx

continuous market for I-SEM go-live:

Limit orders;

Fill or Kill;

Immediate or Cancel;

Good till date;

Iceberg; and

Block Orders



In conclusion, it is intended that the full range of intraday continuous product offerings and simple orders for

intraday auctions as outlined above are included in the SEMOpx operating procedures for I-SEM go-live.



2 Introduction

EirGrid and SONI are designated as NEMOs, in Ireland and Northern Ireland respectively, under Commission

Regulation (EU) 2015/1222 establishing a guideline on capacity allocation and congestion management (CACM).

EirGrid and SONI NEMOs (hereafter SEMOpx), through the I-SEM Project, are required to design, build and run a

day-ahead and intraday electricity market for Ireland and Northern Ireland. In line with CACM and the European

Target Model for an integrated electricity market, SEMOpx will join the European solution for cross-border

intraday continuous trading (XBID). However, as with the other countries that are not members of the XBID Go-

Live in July 2017, XBID will not be available to Ireland and Northern Ireland for I-SEM Go-Live. EirGrid and SONI as

designated NEMOs have joined the XBID accession stream and will work towards joining XBID at the earliest

feasible date.

In the SEM Committee ETA Decision Paper (SEM-15-065) the SEM Committee decided that an interim solution

should be implemented to ensure that an intraday market is in place from the beginning of I-SEM. The SEM

Committee noted that it saw merit in the inclusion of regional intraday auctions as part of this solution. SEMOpx

developed a proposal for an interim intraday market which was subsequently approved by the I-SEM joint project

board, thereby becoming the interim intraday design solution. Implementation of this design is contingent on

agreement from relevant parties (e.g. market operators in GB) in Great Britain to facilitate regional coupling

between the SEM and Great Britain. Discussions are on-going to develop a regional framework between SEMOpx

and GB parties.

The interim intraday solution will endure until SEMOpx joins XBID. Becoming a full member of XBID is dependent

on the execution of a Local Implementation Project (LIP) as part of the XBID Accession Stream. The timing around

this has yet to be confirmed by the XBID Accession Committee. In developing the solution for the interim intraday

design SEMOpx endeavoured to ensure the enduring solution will be compatible with the interim intraday solution

and that they would complement each other to the extent possible.

The interim intraday solution outlined that the interim intraday market would consist of a continuous trading

market covering Ireland and Northern Ireland and three daily regionally coupled intraday auctions including

Ireland, Northern Ireland and Great Britain. However, the interim intraday solution did not outline the products to

be offered in either market segment.

In January of 2017, SEMOpx set out a proposal1 for the products to be offered in each of these market segments

including the options investigated, assessment criteria used and the preferred solution. It was intended to provide

market participants with information on the options explored and reasoning used to arrive at the SEMOpx

preferred solution. Following publication of the proposal document, market participants were offered the

opportunity to submit their feedback on the proposal to SEMOpx.

Following review of the feedback, SEMOpx has prepared this document to outline its response to the feedback

received as well as to outline a final recommendation which will be presented, along with relevant feedback, to the

I-SEM joint project board for approval.

1 http://www.sem-o.com/ISEM/General/SEMOpx%20Interim%20IDM%20Products%20Proposal.pdf

http://www.sem-o.com/ISEM/General/SEMOpx%20Interim%20IDM%20Products%20Proposal.pdf



3 SEMOpx Interim Intraday Design

While the SEM Committee ETA Decision Paper (SEM-15-065) decided that an interim intraday solution should be

implemented, it did not decide on the design of this interim intraday solution. In May 2016, the EirGrid and SONI

NEMOs (collectively referred to as SEMOpx), following a period of engagement with market participants and the

regulatory authorities, published an interim intraday design proposal.

This proposal outlined an interim intraday solution combining a continuous market for Ireland and Northern

Ireland only with three daily regionally coupled auctions including Ireland, Northern Ireland and Great Britain. This

proposal was approved by the I-SEM joint project board and became the baseline interim intraday design2.

Following this, I-SEM change request 108 was submitted to the I-SEM joint project board for consideration.

Following approval of I-SEM change request 108, the interim intraday design was updated and a new version was

published in November 2016 to reflect these changes.

4 Scope of assessment and recommendation

This document outlines the assessment and response to the feedback received by SEMOpx in relation to the

SEMOpx Interim IDM Products Proposal. The recommendation outlined in section X of this document relates to the

recommended position of SEMOpx, following due consideration of participant feedback, for the products to be

offered in the intraday market segments for I-SEM go-live.

It should be noted that the product offerings of SEMOpx could change over time following go-live. The governance

for such a change is explained in the draft SEMOpx rules3.

5 Assessment Criteria

The following criteria were used to develop the interim intraday product proposal:

Promotion of liquidity

Facilitation of balance responsibility actions in the intraday timeframe

Facilitation of renewable energy on the system

Accessibility for all market participants – regardless of size, position or generation type, market

participants can access the intraday market to adjust commercial positions and support system security

Market participant acceptability – the solution should be one which market participants can readily

implement and utilise

NEMO and wider I-SEM central systems and services implementation risk and complexity

Ease of transition to XBID, including use of systems for continuous trading and ability to have cross-border

auctions which would continue to be utilised post accession to the XBID arrangements

2 http://www.sem-o.com/ISEM/General/EG%20SONI%20NEMO%20Interim%20IDM%20Final.pdf

3 http://www.sem-o.com/ISEM/General/SEMOpx%20Rules%20Draft.pdf

http://www.sem-o.com/ISEM/General/EG%20SONI%20NEMO%20Interim%20IDM%20Final.pdf

http://www.sem-o.com/ISEM/General/SEMOpx%20Rules%20Draft.pdf



Feedback received from market participants was primarily assessed using these criteria.

6 Initially explored options

6.1 Auction Option 1 - Simple Orders only for Intraday Auctions

The I-SEM trialling of EUPHEMIA project4 investigated the use of SEM data in EUPHEMIA products to assess how

these products (see appendix 1 for details of EUPHEMIA products) could be used for the I-SEM DAM. While this

project focused solely on the DAM, as it pre-dated the decision to have an interim intraday, and as the intraday

auctions will also make use of EUPHEMIA, its findings have been considered in arriving at this proposal.

While the conclusion of the I-SEM trialling of EUPHEMIA recommended that a range of products be offered for the

I-SEM DAM, this was predicated on two key assumptions that:

the DAM would have a high liquidity which was representative of full participation by all SEM units; and

units in the DAM would need a range of products available to account for unit characteristics, such as

start costs, as the DAM would be the exclusive route to market in that timeframe.

Neither of these assumptions holds for the interim intraday design as:

the liquidity for each intraday auction is currently unclear given the predicted high level of participation in

the DAM and multiple routes to market (i.e. multiple auctions and continuous market); and

as the majority of unit commitment is expected to be resolved in the DAM, and the intraday market

segments are intended to adjust positions closer to real time, there is less of a need for complex

representation of unit characteristics.

The I-SEM trialling of EUPHEMIA showed evidence of volatile pricing outcomes where block orders were used

without a sufficient liquidity of orders using other products also being present in the market. Given these points,

and in the absence of scope for dedicated trialling based on the interim intraday auctions, SEMOpx have concerns

about the risk of volatile pricing outcomes where the full range of products available in the DAM is made available

in the intraday auctions. This concern is mitigated in the I-SEM DAM due to the expected high level of liquidity and

range of market participants expected to take part. As noted above, this mitigation cannot be applied to each

intraday auction individually given the current level of information available about this market segment.

Given the potential for volatile market outcomes, SEMOpx feel it is prudent to offer products which provide the

least-risk solution until such a time as further understanding of liquidity and the needs of market participants are

known. Therefore, SEMOpx proposes that for the intraday auctions, simple orders are the only products made

available at I-SEM go-live.

4 Further information available at:

http://www.sem-o.com/ISEM/Pages/Euphemia.aspx

http://www.sem-o.com/ISEM/Pages/Euphemia.aspx



Please note, that this proposal is based on the current available understanding of the intraday auctions, including

their liquidity. Following go-live of the I-SEM, the understanding of this market segment by both SEMOpx and

market participants will increase. It is the intention of SEMOpx to periodically review product offerings under

advisement of the Exchange Committee5; additional products could be added to the exchange following go-live

through this review process.

6.2 Auctions Option 2 - Full Range of Products Available for Intraday

Auctions

A second option considered for the interim intraday auctions was to allow for the full range of products available

in the I-SEM DAM to also be available in the intraday auctions, namely:

Simple orders;

Complex orders;

Block orders;

Linked block orders; and

Exclusive group orders

This option would allow for the widest range of options to be available for market participants. This would allow

market participants to take part in the intraday auctions in the same way as they do for the I-SEM DAM providing

consistency to trading patterns. Additionally, it would allow for participants to take advantage of the additional

characteristics offered by products such as complex orders and linked block orders. These can have advantages in

terms of representing technical and commercial characteristics of units to the benefit of market participants.

While these additional products would offer flexibility to market participants in their trading, as outlined in section

6.1, SEMOpx has concerns about the effect these products may have on the volatility of the price of the intraday

auctions. The main concerns in this regard are that each individual auction may only have a smaller subset of the

total liquidity of the market. The I-SEM trialling of EUPHEMIA showed that where liquidity is low, EUPHEMIA may

produce volatile results when using block orders without a high liquidity of orders using other products.

Also, given that the majority of unit commitment is expected in the DAM timeframe the more complex

representation of unit characteristics should not be required to the same extent as it will be in the I-SEM DAM. As

market participants will have access to these orders in the DAM, and to other products via the intraday continuous

market, SEMOpx feels the additional flexibility afforded to market participants under this option will not be of

sufficient benefit to outweigh the risks.

5 The Exchange Committee is a committee of Exchange Members which may, inter alia, review the operating procedures of the SEMOpx day-

ahead and intraday markets and advise SEMOpx of desired changes. The exact form, responsibilities and membership of the Exchange

Committee will be determined by the SEMOpx rules.



Finally, the scope of the intraday regional agreements between SEMOpx and other relevant parties (including

market operators in Great Britain) is not yet known. It may be possible that limits to the number of orders of each

product type could form part of these agreements. This introduces a risk that the products available in these

auctions need to change as these agreements are put in place. The full range of products includes those most likely

to be subject to limits. SEMOpx feel that it is prudent to mitigate this risk by offering simple orders only in order to

allow for the maximum level of certainty to the products offered in the intraday auctions.

6.3 Intraday Continuous Option 1 - Full Range of Products for Continuous

Market

The primary goals of adding a continuous trading market to the I-SEM intraday design were to:

Allow for the trading needs of market participants at I-SEM go-live; and

Allow for ease of transition to XBID by allowing a market segment design as close to XBID as possible.

XBID is currently under development and it is not clear what functionality will be available for I-SEM go-live;

however, it is being developed based on existing European continuous trading energy markets. Accordingly,

SEMOpx proposes to offer a range of products in the continuous market which are reflective of those offered in

other European continuous trading energy markets. SEMOpx proposes to offer the following products in the

intraday continuous market (see appendix B for details of these products):

Limit orders;

Fill or Kill;


Good till date;

Iceberg; and

Block Orders

This will offer market participants with the widest range of options in their trading as well as providing experience

with the range of products expected to be available in XBID. It should be noted here that the products offered in

XBID are designed for continuous trading markets. While there are some products common to auctions and

continuous trading, not all products are offered in both market segments.

7 Feedback Received on Auctions

7.1 Use of intraday auction 1 as a fallback for the day-ahead market

7.1.1 Summary of Feedback

A number of respondents noted that the intraday auction 1 (IDA1) was marked out as the fallback solution by the

interconnector TSOs in their methodology on fallback.



They noted that for IDA1 to be an appropriate fallback for the day-ahead market, the same products would need

to be offered in each market and that failure to do so would compromise the decision to use IDA1 as a fallback.

Respondents further noted that the day-ahead market may form a reference price for contracts for difference,

thereby, increasing the need for IDA1 to act as an appropriate and comprehensive fallback for the day-ahead

market.

7.1.2 Assessment

This point was discussed in brief at the I-SEM business liaison group (BLG) meeting on 09/03/17. SEMOpx noted

that the fallback methodology referred to was an interconnector fallback methodology for the pricing of financial

transmission rights (FTRs) and did not have a bearing on the local fallback methodology for producing SEMOpx

day-ahead market schedules and prices.

While the exact fallback methodology are subject to agreement at the regional level between SEMOpx and parties

involved in the multi-regional coupling (MRC), SEMOpx noted, in the minutes of that meeting6, that the fallback

methodology is likely to be similar to that of other MRC bidding zones. In these zones, where an issue is

encountered which cannot be resolved a de-coupling is declared (i.e. the capacity of one or more interconnectors

is set to zero and one or more bidding zones are solved in isolation rather than as part of the coupling). A de-

coupling may be partial (i.e. only some bidding area borders are affected) or full (i.e. all bidding area borders are

affected) and the precise steps, triggers and resolutions for each are still subject to agreement between SEMOpx

and MRC parties. However, as a result of this de-coupling action, a set of local prices and schedules will still be

calculated for SEMOpx even in a fallback situation. It is the intention of SEMOpx, and the current practice of other

MRC bidding zones, that any de-coupled auction would allow for the products available in the SEMOpx day-ahead

market.

Accordingly, SEMOpx feels that the products required for the interim intraday auctions held by SEMOpx are not

necessarily linked to the use of IDA1 as a fallback for the pricing of FTRs by the interconnector TSOs. The

appropriateness of IDA1 for use as a fallback methodology for FTR pricing by the interconnector TSOs is out of

scope of this decision and is a matter for the interconnector TSOs to consider.

7.2 References to EUPHEMIA trial market outcomes


Respondents noted their concerns relating to references made to the results of the I-SEM trialling of EUPHEMIA in

the interim intraday products proposal stating that block orders showed evidence of price volatility when used

with a low liquidity of other orders. Respondents noted that market participants could respond to market signals

and reduce this volatility over time as learnings are gained from market outcomes. One respondent noted that the

market trial would provide for such learnings prior to go-live. Further to this point, one respondent noted that the

outcomes of the I-SEM trialling of EUPHEMIA changed over time as understandings were increased and that later

results of the trials showed little volatility in pricing outcomes.

6 http://www.sem-o.com/ISEM/General/Minutes_NEMO%20BLG_9%20March%202017.pdf

http://www.sem-o.com/ISEM/General/Minutes_NEMO%20BLG_9%20March%202017.pdf



7.2.2 Assessment

SEMOpx noted in the interim intraday products proposal that the assumptions used to represent the day-ahead

market in the I-SEM trialling of EUPHEMIA did not apply to the interim intraday auctions and that appropriate

assumptions about liquidity were unclear. Accordingly, concerns raised about pricing outcomes were only in

relation to potential pricing outcomes rather than being based on forecasting. SEMOpx acknowledges the concerns

of participants in this regard and the evidence from the I-SEM trialling of EUPHEMIA that increased understanding

can allow market participants to react to market outcomes and reduce volatility over time.

7.3 Requirement for cost recovery and unit commitment


Respondents did not agree with the assumption that unit commitment would primarily be resolved in the DAM

and would not be required in the intraday timeframe. Respondents noted that due to changes in wind forecast

between the day-ahead market and delivery, that unit commitment may be required in the intraday timeframe.

Where unit commitment is required, respondents felt that simple orders do not provide sufficient flexibility to

represent their technical and commercial characteristics without significantly increasing the bid price and

therefore the cleared price of the auction.

7.3.2 Assessment

In responding to this feedback, SEMOpx have performed some supporting analysis outlined in appendix C. This

analysis showed that the likelihood of change from the ex-ante market schedule quantity of wind units increases

over time. While no defined benchmark for the size of change requiring a unit commitment is available, one

respondent noted that reductions to wind generation of greater that 400 MW would require commitment of a

new unit rather than adjustment of existing units. Table A1 notes that such a reduction took place in 9.5% of

trading periods when comparing ex-ante schedules to ex-post initial schedules while table A2 notes that when

comparing ex-ante schedules to within day 1 schedules such a change took place on 1.2% of trading periods. While

this analysis does not take into account whether trading periods with such a change are adjacent, it is more likely

for large changes to take place in adjacent trading periods then in isolation. This analysis indicates that there may

be a significant number of trading periods where the change to wind forecast is too high to resolve without further

unit commitment.

While a number of technical and commercial characteristics can be represented using simple orders, SEMOpx

acknowledges that further flexibility in this regard is available through the use of complex or block orders. The

appropriateness of each order type to particular participant’s requirements is a commercial decision of each

market participant. SEMOpx acknowledges the commercial risks facing market participants taking part in the day-

ahead and intraday markets and that the products offered in SEMOpx auctions should allow market participants to

manage these risks effectively. However, SEMOpx does note that the SEMOpx auctions form only one market

segment in the intraday timeframe and that market participants will also be able to place orders, inter alia, on the

SEMOpx continuous market.



7.4 Effect of availability of products on intraday auction liquidity


Respondents noted their concern that the inclusion of only simple orders in the intraday auctions would have a

negative effect on the liquidity in these auctions. Respondents noted that having simple orders only in these

auctions would limit their ability to represent their technical and commercial characteristics and that in the

absence of such representations; this would lead to a lower level of participation in the auctions. One respondent

noted their concerns that where the choice of products adversely affected liquidity that this would cause a

potential barrier to entry for renewable units. One respondent was concerned that where the intraday auctions

are illiquid and a unit had not cleared in the day-ahead market that the unit would lose its opportunity to trade in

the ex-ante timeframe.

7.4.2 Assessment

While noting that simple orders may be used to represent a range of technical and commercial characteristics,

SEMOpx acknowledges that:

The flexibility offered to participants to manage their risks in intraday auctions will affect liquidity; and

A wider range of products being offered in the intraday auctions will offer more flexibility than simple

orders being offered in isolation.

As regards the product offerings in the SEMOpx intraday auctions creating a barrier to entry to trade in the ex-ante

timeframe, SEMOpx notes that the SEMOpx intraday auctions are only one part of the wider I-SEM ex-ante market

segments. Any considerations of the effect of SEMOpx intraday auction products on I-SEM ex-ante trading access

must be considered holistically. As there are multiple routes to market, and only the products of two of these

market segments are in the scope of the recommendation of this paper, SEMOpx does not feel that the products

being offered in the SEMOpx intraday auctions could constitute a barrier to entry to I-SEM ex-ante trading.

7.5 Completeness of options explored


A respondent noted that the list of options explored for the intraday auctions was not comprehensive having only

all products or only one product and that intermediate options should be explored. Further to this, while not

explicitly commenting on the options explored, a number of respondents suggested options outside of the two

outlined in the proposal. The additional options suggested were as follows:

Auction option 3 - An option using simple orders in combination with complex orders; and

Auction option 4 - An option using simple order in combination with block orders.



7.5.2 Assessment

SEMOpx agrees with that these two additional options would also be possible implementations for the intraday

auctions. These options have been considered in arriving at SEMOpx’s final recommendation on the matter.

However, the all-or-nothing approach originally taken was reflective of the principles applied to the product

offerings in the day-ahead market. In principle, it was agreed as part of the I-SEM Trialling of EUPHEMIA that while

complex orders and block orders each have their advantages, the preferred approach is to offer both in tandem.

Offering both of these products in tandem allows market participants the highest level of flexibility in their trading.

Furthermore, there was no consensus among respondents of the option to use highlighting that an intermediate

approach (such as auction option 3 or 4) is not likely to provide an optimal option.

7.6 Need for dedicated analysis work


Respondents noted their concerns that the interim intraday products proposal was decided on despite a lack of

dedicated analysis work being performed and that a more prudent approach would be to only make such a

decision following a dedicated trialling.

7.6.2 Assessment

SEMOpx noted in the interim intraday products proposal that no dedicated trialling or testing had taken place in

relation to the interim intraday design and acknowledged that any decision would need to be made in this context.

Due to the time constraints involved in designing, developing and implementing an interim intraday market for I-

SEM go-live, such an activity could not take place. While the point is acknowledged, SEMOpx would note that this

is consistent with design decisions made in relation to other market segments in the I-SEM throughout the detailed

design and implementation.

8 Feedback received on intraday continuous

Respondents who discussed the intraday continuous market products were in favour of the proposal on products

for this market segment. One respondent gave support for the approach taken with the intraday continuous

products to ease the transition to XBID.

No respondent raised any issues with the proposed intraday continuous products. As such, SEMOpx is minded to

recommend the list of products included in the initial proposal namely:

Limit orders;

Fill or Kill;


Good till date;

Iceberg; and

Block Orders



9 Constraints

9.1 System Constraints

Any products chosen for the intraday auctions or intraday continuous market will need to be implementable on

the relevant systems. Additionally, this will need to be done in sufficient time to allow for the agreed go-live

solution to be implemented for I-SEM go-live in May 2018.

Note that functionality to support complex orders for intra-day auctions is not expected to be available until after

go-live, this will need to be considered in the decision-making process.

9.2 Discussions with GB Stakeholders

As the intraday auctions will be regionally coupled, they will be subject to the agreements between SEMOpx and

market operators in Great Britain. Following extensive discussions on the Intraday Auction arrangements, GB

NEMOs have indicated they are not prepared to support regional intraday auctions with block orders at I-SEM go-

live.

This is due to their concerns about the liquidity in the intraday auctions being insufficient to support appropriate

price formation using block orders and that, subsequently, price volatility would be too high. GB market operators

are also concerned that operating costs will increase with the auction complexity that is caused by the inclusion of

block orders, and these additional costs are unrecoverable with low levels of liquidity. Therefore, SEMOpx is

constrained from offering block order products in the intraday auctions at I-SEM go-live.

It should be noted that, as the interim intraday continuous market applies only to the I-SEM and is not coupled,

this constraint applies only to the products for the interim intraday auctions.

10 Summary

SEMOpx thanks market participants for their responses to this consultation and their insights. The following is a

summary of the key understandings which have influenced the final recommendation of this paper:

Respondents did not feel a change was required to the products as originally proposed for the intraday

continuous market;

Respondents have concerns that the preferred solution outlined in the interim intraday products proposal

will lead to lower liquidity in the SEMOpx intraday auctions with negative consequences;

The assumptions used in the interim intraday products proposal regarding the level of unit commitment

required in the intraday timeframe reflected a lower than expected level of unit commitment;

Respondents are of the view that any potential volatile market outcomes could be mitigated over time

with increased understanding of the market, if they are given access to a range of products;

Due to respondents concerns about their ability to represent their cost and technical characteristics,

especially those relating to unit commitment, more products offering a higher level of flexibility than

simple orders in isolation are required for the SEMOpx intraday auctions; and



In keeping with the principles of the SEMOpx day-ahead market, and in the absence of a consensus on the

best intermediate approach, a full range of products should be offered in the SEMOpx intraday auctions.

Based on the above, SEMOpx feel that auction option 2 “Full range of products available for intraday auctions” and

intraday continuous option 1 “Full range of products for continuous market” are the best options for the SEMOpx

interim intraday market for I-SEM go-live. However, as noted in section 9 some functionality will not be available in

the systems for I-SEM go-live; SEMOpx will endeavour to add this functionality as soon as possible.

11 Conclusion

Accepting that, as outlined in section 9, some products will not be available for I-SEM go-live due to system

implementation constraints and regional agreements, SEMOpx is of the view that as many products from the day-

ahead market as possible should be allowed in the intraday auctions. However, due to the constraints outlined in

section 9, only simple orders will be offered by SEMOpx in the intraday auctions for I-SEM go-live. SEMOpx will

work to add additional orders to these auctions as soon as possible.

While this does not provide the preferred functionality for I-SEM go-live for the intraday auctions, SEMOpx notes

that the concerns of respondents are best addressed across market segments. Differing ranges of products are

available in the day-ahead market and the intraday continuous market and these can be used in combination with

the products available in the intraday auctions to allow participants to mitigate the risks they face in the SEMOpx

markets.

SEMOpx is of the view that the following products should be made available in the interim intraday SEMOpx

continuous market for I-SEM go-live:

Limit orders;

Fill or Kill;


Good till date;

Iceberg; and

Block Orders

12 Next Steps

It is intended that the full range of intraday continuous product offerings and simple orders for intraday auctions

as outlined above are included in the SEMOpx operating procedures for I-SEM go-live.



Appendix A: Description of Products for Day-Ahead and Intraday Auctions

Simple Orders

These are Price Quantity Pair(s) (PQ pair) Orders for supply or demand (buy and sell). The rules that apply for the

acceptance of simple orders are the following:

Any order in-the-money (in merit) must be fully accepted.

Any order out-of-the money (out of merit) must be rejected.

Orders at-the-money (marginal) can be either accepted (fully or partially) or rejected.

Complex Orders

A complex order is a simple order (PQ pair or set of PQ pairs) submitted on behalf of a unit or trading portfolio,

covering one or more trading periods which is subject to a complex condition. Complex conditions are of two

types:

Minimum Income Condition (with or without scheduled stop), and

Load Gradient.

The Minimum Income Condition (MIC) is derived from two elements: the fixed term and the variable term. The

Minimum Income Condition applies a constraint which means that the amount of money collected by the order in

all periods must cover its fixed term and its variable term multiplied by the total volume. The Minimum Income

Condition constraint is in short defined by:

A fix term (FT) in Euros

A variable term (VT) in Euros per accepted MWh.

The load gradient defines the maximum increase of decrease of the accepted volume of the order between trading

periods. A complex order may have a single increase gradient (covering ramp up), a single decrease gradient

(covering ramp down), both or neither.

In the auction, MIC Orders are activated or deactivated based on the following rules -

If a complex order is accepted, based on its MIC being met, its PQ pairs then function as with a simple

order.

If a complex order is rejected, based on its MIC not being met, its PQ pairs are fully rejected.

The scheduled stop condition defines a maximum number of trading periods (starting from the first period only)

where the complex order may be accepted even if the MIC is not met. The MIC will first be applied and then, if the

complex order is rejected and has a scheduled stop condition, the order will be reassessed based on its first PQ

pair for the number of periods defined by the scheduled stop condition. Where a scheduled stop condition is

activated, only the first PQ pair will be used and this will behave as a simple order without using the MIC.



Block Orders

A block order is defined by:

Whether it is supply or demand;

price limit (minimum price for supply block orders and maximum price for demand block orders);

number of periods;

volume that can be different for every period; and

In the simplest case, a block order is defined for a consecutive set of periods with the same volume and with a

minimum acceptance ratio of 1. These are usually called regular block orders. In general, the periods of the block

orders can be non-consecutive, the volume can differ over the periods.

Linked Block Orders

Block orders can be linked together, i.e. the acceptance of individual block orders can be made dependent on the

acceptance of other block orders. Where the acceptance of a block is dependent on the acceptance of another

block, this is called “child block”; whereas the block on which other blocks are dependent is called a “parent

block”.

The parent block can be accepted alone, but the child block needs the acceptance of the parent block to be

accepted. Where a child block has a revenue surplus (i.e. the market clearing price is greater than the block price),

this surplus will be considered in accepting parent block (i.e. a parent block which is out-of-merit may be accepted

where it has a child block which is in-merit). The revenue surplus of a parent block is not considered in evaluating a

child block.

Exclusive Group Orders

Block orders may be grouped together as an Exclusive Group Order. Each block order in an exclusive group order

will have its own characteristics (e.g. price, volume etc.). All block orders within the Exclusive Group Order will be

mutually exclusive (i.e. acceptance of one block order will mean all other block orders in the exclusive group are

rejected).

Appendix B: Description of Products for Intraday Continuous Market

Simple Orders

These are Price Quantity Pair(s) (PQ pair) Orders for supply or demand (buy or sell). The rules that apply for the

acceptance of simple orders are the following:

Any order in-the-money (in merit) must be fully accepted.

Any order out-of-the money (out of merit) must be rejected.



Orders at-the-money (marginal) can be either accepted (fully or partially) or rejected.

Fill or Kill Orders

Fill or kill orders are simple orders with a fill or kill condition added to the order. In this case, the order must be

immediately accepted for its full volume or it will be cancelled and removed from the shared order book.

Immediate or Cancel

Immediate or Cancel orders are simple order with an immediate or cancel condition added. In this case, the order

must be accepted immediately or it is automatically cancelled and removed from the shared order book. Partial

acceptance is allowed against a number of smaller orders (i.e. a 100 MW buy order matched with four orders each

of 25 MW).

Good til Date

Good til Date order are simple orders with a good til date condition added. In this case, the order will be

automatically deleted after a specified date or time (e.g. a simple order which is made available for an hour).

Iceberg Order

An iceberg order is a simple order with an iceberg condition applied. In this case, while the full volume is made

available by the market participant entering the order, only a portion of the order is visible to other market

participants (e.g. a 100 MW order is offered but other participants only see 25 MW at a time). As each segment of

the iceberg order is matched, the next segment is made available.

Block Orders

A block order is defined by:

Whether it is supply or demand;

price limit (minimum price for supply block orders and maximum price for demand block orders);

number of periods; and

volume of the block.

In the simplest case, a block order is defined for a consecutive set of periods with the same volume and with a

minimum acceptance ratio of 1. These are usually called regular (fill-or-kill) block orders.



Appendix C: Information on wind quantity differences

Respondents noted their concerns around the assumption used by SEMOpx that unit commitment would primarily

take place in the day-ahead market and that the intraday markets would primarily be used to adjust positions. In

response to this, SEMOpx investigated the changes to wind generation for different auctions on the same trading

day in the SEM.

The analysis looked at the six month period between 01/10/2016 and 31/03/2017. As the different versions of the

wind forecast data are not available in the SEMO system, the analysis investigated the market scheduled quantities

(MSQs) of wind units in the ex-ante (EA), within day 1 (WD1) and ex-post initial (EP2). This analysis is intended to

give an indication of the change to wind generation over time as new data becomes available. While there is no

agreed benchmark for what differences would require unit commitment in the intraday markets, larger differences

between the forecast and final position are more likely to require unit commitment in order to fulfil the demand

requirement from the reduced level of wind generation.

MW value of reduction Number of trading periods Percentage of trading periods

Over 400 827 9.5%

Over 300 1292 14.8%

Over 200 1962 22.5%

Over 100 2889 33.1%

Table A1: Instances of reduction to wind MSQ between EA and EP2 schedules for the period 01/10/16 to 31/03/17

MW value of reduction Number of trading periods Percentage of trading periods

Over 400 109 1.2%

Over 300 263 3.0%

Over 200 679 7.8%

Over 100 1692 19.4%

Table A2: Instances of reduction to wind MSQ between EA and WD1 schedules for the period 01/10/16 to 31/03/17

As can be seen in tables A1 and A2, the likelihood of reduction from the EA market schedule increases over time

between the forecast volume and availability and the real time values reflected in EP2. This reduction is less likely

between EA and WD1 and is less likely to occur for larger volumes.

One respondent noted that where a reduction to wind output of 400 MW occurred for a number of consecutive

trading periods, a unit commitment would be required. Further to this, they noted that simple orders on their own

would not allow for sufficient accounting of the technical and commercial characteristics required for such a unit

to offer that commitment without increasing the price offered with negative effects on social welfare.

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