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### Overview

Unlike the HO-GO spreads, you must manually add values in the [SpreadRatios] section to trade ICE Heat Rates Spreads correctly. For each Heat Rate Spread trade, the Exchange sends a fill with a quantity of one (1) for the first leg. However, the Exchange provides a variable quantity for the second leg. The variable quantities for the second leg are calculated based on the price of the spread being traded.

### Configuring the ICE Heat Rate Spread

To trade the ICE Heat Rates Spreads, you must update the [SpreadRatios] section with the values highlighted in the example below. These settings allow the ICE Gateway to adjust for the variable quantity of the second leg.

"ICE HO-GO Spr"=3,-4,1,4

"IPE Gas Oil Crk"=4,-3,1,4

“PJMWH Heat Rate”=1,-150,1,1

“ERN Heat Rate”=1,-150,1,1

### Calculating the ICE Heat Rate Spread Ratio

TT used the formula below to determine the correct values for the [SpreadRatios] section.

Example ICE Heat Rate Spread Ratio Formula

The ICE Heat Rate Spread Ratio Formula uses the following values:

• Maximum Trading Days per Month: This value always equals 23.
• Number of Trading Hours per Day: This value always equals 16.
• The Fixed Amount of Power: Represented in Megawatt Hours, this value always equals 50.
• Estimated Maximum Spread Price: Currently, TT suggests using the value of 20 to allow for volatility in the market.
• Single ICE Lot: Currently, ICE sets this value at 2500 BTUs.

[Maximum Trading Days in a Month (23)] * [Trading Hours in a Day (16)] *

[Megawatt Hours (50)] * [Estimated Maximum Spread Price (20)] / [Single ICE Lot (2500 BTU)] = Henry Hub Lot Value (147.2)

This value was rounded to 150. Since this represents a selling prices, this equals a negative value in the [SpreadRatios] section.

The formula uses static amounts for all values except for the Estimated Maximum Spread Price. TT used an estimated maximum price of 20 to determine the correct values. Since the ICE Heat Rates Spreads currently trade around the 11.000 price level, this provides enough buffer to allow for volatility in the market.

If the ICE Heat Rates Spreads trade at a higher price level, you can use the same values in the formula above to determine the optimal values for the [SpreadRatios] section by substituting a higher value for the Estimated Maximum Spread Price.

 Note You must increase the quantities for risk checking by the same amount as the Henry Hub Lot value.