EPEX Intraday Continuous Market
The data available at the EPEX endpoints
This data is from the EPEX power exchange and shows all the trades (volume and price) that go through the intraday market. This is the only intraday power market in Great Britain. And, we are super excited to bring it to you - this one has been a labour of love.
What's the intraday market?
The intraday power market in GB is an order book. Traders make bids or offers: an option to buy or sell a volume of power for a period of time (within the next 12 hours or so) for a set price. Bids and offers are shown on a trading screen, and traders can click them to accept. Prices for each accepted bid or offer vary, so there is not one single price per settlement period (unlike the day-ahead or intraday auctions). It is 'pay as bid' rather than 'pay as clear', with lots (and lots) of individual contracts between parties.
When there is significant movement in price, it is a sign the market conditions (and system conditions) are changing. For example, if there is a £100/MWh upward movement in price for a single settlement period, it indicates that the system is becoming tighter as we move towards delivery - perhaps a wind front is late coming in, or there is more cloud than forecast, or a thermal unit has become unavailable.
This information is very useful to those participating in the markets. You might see this and start charging your battery so it can be full of energy for discharging later.
And, it's not easy to come by. Modo has been working on getting this dataset for many months. There is no 'how to' on how to calculate the indices from EPEX, and their API is tricky to use. So, we've done the hard work so you don't have to.
What data is available?
The EPEX data on the Modo API shows the record of each buy and sell trade on the exchange (volume MW and price £/MWh). Listed products are for delivery of energy over one half-hour, 1 hour, 2 hours, 4 hours, or more.
Currently, on the Modo API, we have the trade report and trade confirmation datasets. These are updated in real-time. The trade report one is a biggie.
Play with these here:
https://developers.modoenergy.com/reference/epex-continuous-intra-day-contract-info-report
Coming soon are the reference prices (or RPD) used to index trades for each 30-minute period. They show the volume-weighted average price for each period. There are two of these:
- RPD HH shows the volume-weighted price for each 30-minute period for just half-hourly traded products (i.e. when one settlement period is traded only)
- RPD shows the volume-weighted price for each 30-minute period, considering all 4-hour, 2-hour, 1-hour and half-hourly traded products.
Why is this useful?
Basically, we have more data, more live, going back further, and in an easier-to-access way than elsewhere.
RPD and RPD HH indices are available (at a cost) on the EPEX FTP, but only at the end of the day, once all trading for that date has finished.
RPD HH is available in tabular form on the EPEX spot website, but the data only goes back 2 days, and it does not update in real time. RPD is not available.
The Modo API shows live RPD and RPD HH, updated every minute as new trades come in.
We also have data going back historically to 1st August 2023 (more than the 2 days on the EPEX website).
For those wishing to do a more in-depth analysis of how the prices change across a period via each individual trade, all the data is available to them to perform any analysis. All in one place.
More information on what these look like are below.
Calculation of EPEX intraday indices: RPD & RPD HH, historic and future
At 30 minute granularity, we calculate the volume weighted average across (4h, 2h, 1h and half-hour) products to build the RPD price; and the (half-hour) products to build the RPD HH price. We also calculate the volumes of energy being bought and sold through the exchange.
This is for 'now' and into the future, as far ahead as the liquidity horizon allows (ie how far out from delivery trades have been placed at the point of query). The data for the current settlement period, and the future, will change - so this RPD price gets updated every minute to reflect the latest value.
View of market movements
By looking at the individual trades placed for each 30-minute delivery period, we get an indication of how the market is behaving.
Candlestick plots are a way of plotting financial data which show the opening trade, the closing trade, the highest trade, and the lowest trade. The lines show the highest and lowest trades, and the boxes show the opening and closing trade. Whether the bar is green or red indicates whether the final trade was higher than the opening trade (green) or vice versa (red).
Or, you can look at how the price for each delivery period evolves, and how that changes for the duration of each product.
The 0.5 duration product for delivery at 5:30pm on this day begins trading at £176/MWh with a trade placed at 8:40am. The price goes up and down several times before finishing close to the start price at £171/MWh, dipping under £160/MWh and getting as high as £195/MWh. These fluctuations in price present opportunities for traders to make money.
How much intraday volume is traded?
We can split this out by product, and find the half-hourly contracts get the most volume, and as you'd expect, there is more volume over peak periods.
Updated about 1 month ago