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Support for Phelix Products

Overview

The Eurex Gateway supports trading of Phelix (Physical Electricity Index) futures on the EEX (Euopean Energy Exchange). Contact Eurex for availability of Phelix products on their new trading architecture (T7).

Membership and Connectivity

The trading facilities of EEX and Eurex operate on the same platform, so Eurex trading members gain seamless access to the EEX via their existing Eurex infrastructure and client applications. In order to trade Phelix products, you need to be an EEX member.

Available Products

The Phelix futures contract is based on the EEX spot market prices for power in upcoming delivery periods. On the EEX derivatives market, Phelix futures are traded for the current month, the next nine months, the next eleven quarters and the next six years.

Phelix is the underlying security, and it is made up of two separate indices: Baseload and Peakload. The Phelix Baseload Index is defined as 24 hrs/day, 7 days a week; the Phelix Peakload Index is defined as 12 hrs/day (08:00 AM to 08:00 PM), weekdays only.

The Eurex Gateway supports trading of the following six Phelix futures products:

  • Phelix Baseload Index
    • Yearly (F1BY): Current year and next 6 years.
    • Quarterly (F1BQ): Current quarter and next 11 quarters.
    • Monthly (F1BM): Current month and next 9 months.
  • Phelix Peakload Index
    • Yearly (F1PY): Current year and next 6 years.
    • Quarterly (F1PQ): Current quarter and next 11 quarters.
    • Monthly (F1PM): Current month and next 9 months.

Cascading and Settlement

Phelix yearly and quarterly futures are settled by cascading. Cascading means that futures contracts with longer delivery periods are substituted at expiry with equivalent contracts having shorter delivery periods. The expiry for yearly and quarterly contracts is three trading days before the beginning of the next delivery period . The following figure shows how contracts are cascaded at expiry.

On the contract expiration date, every position in yearly futures is substituted with equivalent positions in monthly futures for January, February and March, as well as in quarterly futures for the second, third, and fourth quarter of the year. The same cascading occurs for quarterly contracts; that is, on the last contract day of the quarter, every position in quarterly futures is substituted with equivalent positions in monthly futures whose delivery periods comprise the quarter.

Positions are closed at the final settlement price for the yearly or quarterly future, and the equivalent new positions are opened at the same price. The Eurex Gateway does not support moving positions after cascading. Once the contract cascades, you will have to manually insert the start of day positions using X_RISK® or Back Office Bridge™.

There is no physical delivery of the products at expiry. Any working orders for a contract at expiry are removed by the exchange. Only monthly contracts are cash settled.

Client Application Impact

Phelix yearly, quarterly, and monthly contracts can be traded using X_TRADER®, which displays quantities for fills as the individual trade-able contract.

Phelix futures products appear under Energy in the Product Types pane in Market Explorer. Spreads with outright Phelix futures legs or spreads appear under the Spreads product type. The Eurex Gateway does not support trading of Phelix options products, but allows viewing of market data for these products; they are listed as Options in the Product Types pane in Market Explorer.

Yearly, quarterly, and monthly contract volume is calculated by the exchange and forwarded to the Eurex Gateway, where it is stored for risk management and P&L calculations in X_RISK®, X_STUDY™ , and FMDS. For Phelix spreads, P&L is calculated only for the outright contracts.

The delivery period for Phelix products is the number of days * hours, and the delivery unit for all contracts is 1 MWh. Contract volume is calculated by the exchange as follows:

  • Yearly Baseload: 1MWh* 24h/day * 365 days = 8760 MWh
  • Quarterly Baseload = 1 MWh * (Number of days in the quarter) * 24 hrs/day
  • Monthly Baseload = 1 MWh * (Number of days in the month) * 24 hrs/day
  • Yearly Peakload: 1 MWh * 12h/day * 261 days = 3132 MWh
  • Quarterly Peakload = 1 MWh * (Number of week days in the quarter) * 12 hrs/day
  • Monthly Peakload = 1 MWh * (Number of week days in the month) * 12 hrs/day

Configuring Phelix Product Support

The Price Server is configured to support Phelix products by selecting one of the following inclusion lists during a new installation:

  • CFTC-inclusion.cfg
  • EurexNoEquityOptions-inclusion.cfg
Note

Because trading of Phelix options is not supported by the gateway, do not select the EquityOptions configuration during a new installation. After an upgrade, do not update and use the EquityOptions-inclusion.cfg file.

To enable Phelix product support after an upgrade, you have to manually update your inclusion list with the following monthly, quarterly, and yearly Phelix Baseload and Peakload products:

  • F1BM
  • F1BQ
  • F1BY
  • F1PM
  • F1PQ
  • F1PY

Also after an upgrade, the master files for the inclusion lists will contain the products for Phelix futures. Refer to Working with Master Files for more information about updating configuration files using the Master files as a reference.

To disable receiving Phelix product downloads and market data from the price feed, remove the Phelix product names from your selected inclusion list.

If your exchange-flavorhostinfo.cfg file is configured with [CHANNEL_GROUP_*] sections, the Eurex Gateway will support trading of Phelix futures as long as your exchange-flavorhostinfo.cfg file is referencing the inclusion list where the Phelix products are listed.

The TT Eurex Gateway supports the same order types for Phelix products as it does for all other products traded on the Eurex platform. For a list of supported order types, refer to Supported ETI Order Types.

Tick Tables, Point Values, and Product Tables for Phelix

The exchange provides tick and point values via the Price Server connection. You do� not need to configure tick or point values for Phelix products.