electrical energy pricing working group develop a price message format based upon the fix protocol...
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 MeetingSeptember 1, 2009
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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
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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.
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Full Description of Assignment
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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?
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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
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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
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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
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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
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Tag = Value compared to FIXML Tag = Value
FIXML
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8=FIX.4.1<SOH>9=119<SOH>35=6<SOH>49=BRKR<SOH>56=INVMGR<SOH>34=236<SOH>52=19980604-07:58:48<SOH>23=115685<SOH>28=N<SOH>55=SPMI.MI<SOH>54=2<SOH>27=200000<SOH>44=10100.000000<SOH
>25=H<SOH>10=159<SOH>
<FIXML><IOI IOIID="115685" TransTyp="N" Side="2" Qty="200000"
Px="10100.000000" QltyInd="H"><Hdr SeqNum="236" SndgTm="1998-06-04T07:58:48">
<Snd ID="BRKR" /> <Tgt ID="INVMGR" />
</Hdr><Instrmt Sym="SPMI.MI" /> </IOI>
</FIXML>
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
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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
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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
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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
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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
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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
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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
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FPL Instrument Component Block Used in all transactional messages
Identifiers Classification Definitions / characteristics
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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
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Instrument Component - Identification NoSecurityAltID
SecurityAltID SecurityAltIDSource
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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
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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".
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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)"
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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)
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Instrument Party Can be used to identify Parties associated with the price Party Role PartyID
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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
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Location Marginal Price (LMP)
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NERC Areas
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Electrical Control Area Operators
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Resources ISO/RTO Council
Approach them about participating NAESB
Representing ISOs and RTOs and Utilities ISO – all have electronic interfaces
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Demand Response
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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
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