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M7 White Paper

Continuous auction market modelA proposal for the future European intraday power market

Deutsche Börse AG proposes to introduce a so-called continuous auction market (CAM) model as future model for the European intraday power market. The new model establishes enhanced trading opportunities, intended to cover the full functionality required by the guideline on capacity allocation and congestion management (CACM).

Key features of the CAM model

  • A flexible and simplified set-up of products based on market time units (MTUs).
  • The inclusion of congestion rent in case of scarce capacity as well as a new type of market priced capacity orders that could replace explicit allocations.
  • Considerably improved market efficiency and liquidity increase by leveraging currently unused matching opportunities. Based on historical data, we observed an increase of 9 per cent in the executed order volume compared to the XBID continuous model. Compared with auctions performed every 15 minutes, the executed order volume was 38 per cent higher in the CAM model.
  • Support for a broad variety of grid models (NTC-based, flow-based or hybrid) and the inclusion of extra physical constraints like losses or ramping conditions.
  • A responsive, high throughput, real-time market with low latencies for trading. In the prototype CAM implementation, the measured latency was 15 ms (median) and the observed maximum sustainable load is 200,000 order events per second.
  • An adaptive auction processing model that guarantees scalability in highly loaded market situations with low impact on latencies.

A full description of the proposal is available in the white paper below.