ASX 24 - Australian Electricity Futures - Enhancements to the Daily Settlement Price (DSP) process
Mon 4 Aug 2014
As per. ASX notice:
http://www.sfe.com.au/content/notices/2014/0849.14.08.pdf
Effective from trade date 11 August 2014, ASX will implement enhancements to the Daily Settlement Price (DSP)
process for Australian electricity futures to further improve the quality and robustness of daily settlement prices.
The current DSP process for Australian electricity futures is detailed in the Energy Market Policy (section 9.2) published
on the ASX website - http://www.asx.com.au/documents/products/energy-market-policy.pdf.
The enhancements consist of the following changes in determination of the Preliminary DSPs (PDSPs):
- Addition of a Settlement Trade Window which is the last 2 minutes to close of trading. Trades occurring during the Settlement Trade Window (including strip trade allocations) will be used to create a Trade VWAP. The Trade VWAP will be combined with the VWAP of any valid orders at close that represent an improvement in price on the Trade VWAP for the purposes of determining the Preliminary Daily Settlement Price input in the DSP process.
- Addition of a Settlement Order Window which is the last 10 seconds to close of trading. The DSP process will only consider orders that are maintained throughout the Settlement Order Window for the calculation of daily settlement prices.
All other aspects of the DSP process, as outlined in the current Energy Market Policy document, will remain the same.
ASX will publish an updated Energy Market Policy document to the ASX website to reflect these enhancements.