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What is the scheme of the Spot Market for hourly power delivery in GER
- the Spot market can be splitted into Day-ahead Market and Intraday Market
- Auctions are collected for Day-ahead until closure (noon)
- ⇾ after closure an equilibrium price is found (12:30)
- 15:00 ⇾ Intraday Market starts
- ⇾ not a fixed gate auction: continuously trading between two points in time
- ⇾ trading is possible until 30min before delivery
- ↳last trading option between 30min and delivery is only in the local transmission network
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Comparison day-ahead & intraday
- Day-ahead=fixed gate auctions:participants submit buy/sell orders for several areas hours
- submissions are closed at a pre-specified time (noon)
- Market gets cleared
- Intraday=continuous-time auctions: Participants continuously submitting orders
- orders are stored
- Each time a transactioon is feasible, it gets executed
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Price Determination by EPEX Spot
- orders are sent to the Order Book (OB) by exchange members until:
- ⇾ cancelation
- ⇾ modification
- ⇾ execution
- ⇾ expiration
- OB and transactions are anonymous
- after closure, orders are binding and irrevocable
- daily auctions after Book closure
- price corresponds to the exchange members aggregated supply and demand curves
- price determined by the algorithm at the time of auction is the price at which all the trades will be executed
- algorithm aims at optimising the total welfare (seller surplus, buyer surplus, congestion rent and tariff rates)
- algorithm determines the execution prices, the matched volumes and the net positions of each coupled market if applicable
- it returns the selection of blocks that will be executed
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Why could the Phelix Peak Price be lower than Base Price?
Due to renewable infeed during daytime (pv)
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What are Limit and Market Orders?
- sending a LO indicated desire to buy/sell at a given price up to certain quantity
- ⇾ execution is not guaranteed
- sending in a MO indicates desire to buy/sell a certain quantity at the best price available
- ⇾ Execution is immediately after sufficient volume is available
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What is the LOB?
The Limit Order Book is a collection of all currently available buy/sell LOs by time of arrival ⇾ sorted by price first, date second
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