Presentation on theme: "Electrical Energy Pricing Working Group Develop a price message format based upon the FIX protocol FIX Protocol Ltd. North American Energy Standards Board."— Presentation transcript:
Electrical Energy Pricing Working Group Develop a price message format based upon the FIX protocol FIX Protocol Ltd. North American Energy Standards Board Kickoff Meeting September 1, 2009 2009-09-011Copyright (c) FIX Protocol Ltd.
Agenda Introduction Anti-trust guidance Adoption of agenda Review the priority action plan agreed upon during the NIST Smart Grid meeting and scope definition Definition of energy instruments sometimes referred to an electrical energy price message format or more appropriate a price for energy with terms and conditions We are not focused on a pricing model or parameters of a model This working group will not define or create business practices for the energy markets Overview of the FIX Protocol Ltd organization and the FIX Standard for those outside the financial industry Overview of the FIX Instrument Component Presentation of an initial concept Next steps/Other business Adjourn 2009-09-01Copyright (c) FIX Protocol Ltd.2
PAP03: Price Product Develop Common Specification for Price and Product Definition Price is more than a number. Price is a number associated with product characteristics. Already identified product characteristics include delivery schedule, quality, environmental characteristics, and regulatory characteristics. A common specification for price is a precursor to new market developments, to demand response, to distributed energy resources, to understanding meter information, and to every other hand-off between domains. Objectives: Develop a summary of product characteristics of interest to energy consumers. Develop summary of power reliability and quality characteristics that affect price and availability (supply side) and desirability (demand side). Develop and implement a plan to expedite harmonized standards development and adoption within the associated standards bodies. 2009-09-01Copyright (c) FIX Protocol Ltd.3
Full Description of Assignment 2009-09-01Copyright (c) FIX Protocol Ltd.4 http://collaborate.nist.gov/twiki-sggrid/bin/view/_SmartGridInterimRoadmap/PAP03PriceProduct
Think Message Format not Price Model We are not here to define how energy pricing is derived This is not how to calculate a price based upon a pricing model The purpose of a Message to convey Price is to provide sufficient information to the recipient so that they can understand WHAT is being priced not HOW it is being priced So the Price Message Format is about identifying those characteristics, values, and identifiers that make the product, in this case a quantity of electricity at a specified interval The Price Message Format will contain some of the same values needed to calculate a price – but only those that identify what is being priced The question to be asked when deciding what to include in the format- does the recipient need a particular value (or attribute) to understand what they are buying? 2009-09-01Copyright (c) FIX Protocol Ltd.5
FIX Features FIX is the pre-eminent global messaging protocol for the pre-trade and trade environment up to pre-settlement for securities FIX is an open standard for multiple security classes, facilitating greater STP FIX provides seamless connectivity to multiple counter-parties and enhances price transparency and access to liquidity. It is a superior solution that reduces reliance on broker and vendor proprietary solutions It enables accurate real time updating of portfolio and trading management systems for pre-trade, trade and pre-settlement The FIX Protocol is owned and maintained by FIX Protocol Limited, a not- for-profit industry association of approximately 200 firms from across the financial services sector. Representatives from these firms dedicate time and resource to ensure that the FIX Protocol is continually enhanced to meet the ever evolving needs of this sector 2009-09-016Copyright (c) FIX Protocol Ltd.
FIX as a solution has expanded considerably FIX started within the buy-side to sell-side to communicate indication of interest (IOIs) then order routing for equities Quickly (a matter of a 2-3 years) added additional asset classes FX Listed Derivatives Fixed Income Quickly added additional business areas and processes Allocations Quote driven market support Market data Exchange / ATS / ECN support Reference data Trade capture and trade reporting Listed derivatives clearing Pre-trade through post-trade pre-settlement across multiple asset classes 2009-09-01Copyright (c) FIX Protocol Ltd.7
FIX Usage Statistics Low Latency FIX supports round trip times in the 100 microseconds using tag=value format High Capacity OPRA market data as of July 2008 – 907,000 messages per second Include stats on listed derivatives > 100 Million FIXML messages transmitted by Chicago Mercantile Exchange Clearing House and The Options Clearing Corporation to clearing firms each day Adoption Majority of financial exchanges globally support the FIX Protocol Regulatory adoption US: SEC, CFTC, Exchanges, clearing houses Europe: MiFID Canada: IIROC Brazil: BM&F Bovespa 2009-09-018Copyright (c) FIX Protocol Ltd.
FIX supports Multiple Syntaxes Original syntax: Tag = Value ASCII syntax for extensible data representation FIX session layer is a reliable delivery transport Used over TCP High performance for transactional data flows Syntax: FIXML Defined by XML Schema Ideal for web-enabled applications Used for virtually all derivatives post-trade in the United States Syntax: FAST Binary-encoded and highly optimized Used today for high volume market data feeds 2009-09-019Copyright (c) FIX Protocol Ltd.
Tag = Value compared to FIXML Tag = Value FIXML 2009-09-01Copyright (c) FIX Protocol Ltd.10 8=FIX.4.1 9=119 35=6 49=BRKR 56=INVMGR 34=236 52=19980604- 07:58:48 23=115685 28=N 55=SPMI.MI 54=2 27=200000 44=10100.000000 25=H 10=159 Length 136 bytes Length 248 bytes
FIX and Markets FIX supports a number of market models used globally Order driven All market participants submit orders which are matched Various levels of the order book are distributed as market data Quote driven (tradeable) Market makers submit quotes – usually for two sided markets Market participants submit orders which are matched against quotes and other orders Various levels of the book (including quotes and orders) are distributed as market data Quote driven (indicative) Market makers submit quotes Bulletin board Trades are completed outside of the system – can use trade reporting Market maker indicative quoting is distributed as market data Other hybrid models also supported 2009-09-0111Copyright (c) FIX Protocol Ltd.
The FIX Standards Process Need is identified; Gap Analysis document created and submitted as a proposal GTC Governance board has 7 days to accept the proposal Gap Analysis reviewed in the appropriate Committee or Working Group Gap Analysis reviewed by the Global Technical Committee (GTC) Gap Analysis posted for public comment (15 or 30 days) Vote by GTC Governance Board (7 days) Repository updated by creating an Extension Pack Firms can immediately use the new functionality through the approved Extension Pack Extension Packs are aggregated into a Service Pack release at an interval of 12 to 18 months Gap Analysis creation to Extension Pack completion can take as little as 2 months 2009-09-0112Copyright (c) FIX Protocol Ltd.
FIX and Energy markets The FIX Instrument Component is used to define products Unit of Measure – contract quantity unit of measure Fixed Magnitude UOM Bcf = Billion cubic feet MMbbl = Million Barrels MMBtu = One Million BTU MWh = Megawatt hours Variable Quantity UOM Bbl = Barrels Bu = Bushels lbs = pounds Gal = Gallons oz_tr = Troy Ounces t = Metric Tons (aka Tonne) tn = Tons (US) USD = US Dollars Alw = Allowances PriceUnitOfMeasure – unit of measure of the price if different from contract UOM 2009-09-0113Copyright (c) FIX Protocol Ltd.
Flow Schedule Type The industry standard flow schedule by which electricity or natural gas is traded. Schedules exist by regions and on-peak and off-peak status, such as "Western Peak". 0 = NERC Eastern Off-Peak 1 = NERC Western Off-Peak 2 = NERC Calendar-All Days in month 3 = NERC Eastern Peak 4 = NERC Western Peak 2009-09-01Copyright (c) FIX Protocol Ltd.14
Calendaring ISO 20022 European Central Bank lead Target 2 Securities initiative Defining a standard set of messages for communicating calendars Common requirement for financial securities as well as energy commodity contracts Different underlying data Effort is being addressed by SWIFT, FPL, FISD, and industry vendors such as CoppClark 2009-09-01Copyright (c) FIX Protocol Ltd.15
FIX and Other Standards FIX and FIXML are the only accepted syntaxes for the pre-trade and trade messages in ISO 20022 for equities, fixed-income, and listed derivatives FPL participates in Accredited Standards Committee X.9 for Financial Services FPL helped to organize and lead the effort to create an industry standard road map within the financial securities industry with SWIFT, ISDA/FpML, and ISITC. This group has now expended to include XBRL-US and SIIA/FISD FPL has memorandum of understandings in place with the Futures Industry Association (FIA), OMG, SIFMA 2009-09-0116Copyright (c) FIX Protocol Ltd.
Conclusions: FIX and the Smart Grid FIX is the preeminent standard for financial markets globally Markets have achieved extremely high performance with FIX FIX has multiple syntaxes tailored to business needs, from web- enabled appliances to extremely high volume market data feeds FPL has a history of working with other standards bodies, promoting interoperation between standards, and incorporating other standards within FIX FIX integrates well with market regulation The FIX standards process is agile and flexible, and can accommodate the business needs of the electricity market FPL has considerable expertise in standards for markets; we feel that collaborating with industry experts in electricity will result in the best market pricing standards 2009-09-0117Copyright (c) FIX Protocol Ltd.
FPL Instrument Component Block Used in all transactional messages Identifiers Classification Definitions / characteristics 2009-09-01Copyright (c) FIX Protocol Ltd.18
Identification Symbol(tag 55) – ticker symbol SecurityID(tag 48) SecurityIDSource(tag 22) 1 = CUSIP 2 = SEDOL 3 = QUIK 4 = ISIN number 5 = RIC code 6 = ISO Currency Code 7 = ISO Country Code 8 = Exchange Symbol 9 = Consolidated Tape Association (CTA) Symbol (SIAC CTS/CQS line format) A = Bloomberg Symbol B = Wertpapier C = Dutch D = Valoren E = Sicovam F = Belgian G = "Common" (Clearstream and Euroclear) H = Clearing House / Clearing Organization I = ISDA/FpML Product Specification (XML in EncodedSecurityDesc) J = Option Price Reporting Authority K = ISDA/FpML Product URL (URL in SecurityID) L = Letter of Credit M = Marketplace-assigned Identifier 2009-09-01Copyright (c) FIX Protocol Ltd.19
Instrument - Classification Product (tag 460) Indicates the type of product the security is associated with. See also the CFICode (461) and SecurityType (167) fields. 1 = AGENCY 2 = COMMODITY 3 = CORPORATE 4 = CURRENCY 5 = EQUITY 6 = GOVERNMENT 7 = INDEX 8 = LOAN 9 = MONEYMARKET 10 = MORTGAGE 11 = MUNICIPAL 12 = OTHER 13 = FINANCING ProductComplex(tag 1227) Identifies an entire suite of products for a given market. In Futures this may be "interest rates", "agricultural", "equity indexes", etc. Introduced by the CME for broad categories 2009-09-01Copyright (c) FIX Protocol Ltd.21
Instrument - Classification SecurityType(tag 67) Indicates type of security. Security type enumerations are grouped by Product(460) field value. NOTE: Additional values may be used by mutual agreement of the counterparties. SecuritySubType(762) Sub-type qualification/identification of the SecurityType. As an example for SecurityType(167)="REPO", the SecuritySubType="General Collateral" can be used to further specify the type of REPO. If SecuritySubType is used then SecurityType is required. For SecurityType="MLEG" a name of the option or futures strategy name can be specified, such as "Calendar", "Vertical", "Butterfly". 2009-09-01Copyright (c) FIX Protocol Ltd.22
Instrument - Classification SecurityGroup(tag 1151) An exchange specific name assigned to a group of related securities which may be concurrently affected by market events and actions. CFICode(tag 461) ISO 10962 Indicates the type of security using ISO 10962 standard, Classification of Financial Instruments (CFI code) values. ISO 10962 is maintained by ANNA (Association of National Numbering Agencies) acting as Registration Authority. A subset of possible values applicable to FIX usage are identified in "Appendix 6-D CFICode Usage - ISO 10962 Classification of Financial Instruments (CFI code)" 2009-09-01Copyright (c) FIX Protocol Ltd.23
EventGrp NoEvents(tag 864) EventType(tag 865) 1 = Put 2 = Call 3 = Tender 4 = Sinking Fund Call 5 = Activation 6 = Inactiviation 7 = Last Eligible Trade Date 8 = Swap Start Date 9 = Swap End Date 10 = Swap Roll Date 11 = Swap Next Start Date 12 = Swap Next Roll Date 13 = First Delivery Date 14 = Last Delivery Date 15 = Initial Inventory Due Date 16 = Final Inventory Due Date 17 = First Intent Date 18 = Last Intent Date 19 = Position Removal Date 99 = Other EventDate(tag 866) EventTime(tag 1145) EventPx(tag 867) EventText(tag 868) 2009-09-01Copyright (c) FIX Protocol Ltd.24
Instrument Party Can be used to identify Parties associated with the price Party Role PartyID 2009-09-01Copyright (c) FIX Protocol Ltd.25
Identification – what is being priced Electricity Energy (MWh, KWh) Generation Method Environmental Attributes Ancillary Services (MW, KW) Spinning Non-spinning Frequency regulation Capacity (MW, KW) Transmission and Distribution Rights (MW, KW) Demand Response Load Control Time Intervals Timezone issues have to be addressed Delivery Interval Daily blocks (on ICE and NYMEX) Hourly markets 5 minute markets Location NERC Areas Control Area Entire ISO or RTO ISO/RTOs have defined names for each point of delivery 2009-09-01Copyright (c) FIX Protocol Ltd.26
Related standards http://collaborate.nist.gov/twiki- sggrid/bin/view/_SmartGridInterimRoadmap/PAP03PriceProduct FIX, JPM, FISD, NARUC/NAESB, ISO/RTO CTO, EEI, AHAM, ZigBee, OpenHAN, OASIS, ANSI NAESB – post documents and exploder list Bin Qui – ANSI Standards – facilitator – topic of agendas OpenHAN – Joe Zhou ZigBee – Joe Zhou TC57 – common information model NARUC – how are we going to engage them OpenADR – he wants to see PAP03 succeed in an orderly fashion Anything from the ISO/RTC perspective that needs to be included TC57 – ISO/RTC standard - Project being started at the ISO level Demand Response / Storage 2009-09-01Copyright (c) FIX Protocol Ltd.32