How are closing prices calculated, what is OHLC, settlement and technical close?
CLOSING PRICES
Closing prices are calculated automatically when there are enough prices or trades.
When the first trade is done on a day, we will create an OHLC (Open, High, Low, Close) for that product. So the first trade would be Open, the highest/lowest trade would be High/Low, and the last trade before closing at 16:00 UTC will be Close.
In addition we are providing settlement for a certain range of the most common products.
Settlement is our evaluation of what the closing price should be based on interests, trades and market knowledge. At the moment we are providing settlement prices for EECS current year + 3 years ahead and for Any renewable, Hydro and Wind. For current year +4, we are providing settlements for Hydro only.
That means there will be both a closing price and a settlement for certain products.
We return OHLC info for each product, technical close and settlement + a convenience column: techCloseSettlement. This last column is either :
- settlement if exists, or else
- technical close
Technical close is either close price if it exists, or else, average between highest bid and lowest ask.
PRODUCTS
There are a lot of different "products" as we make a new product when there is a new trade or interest placed on a new configuration.
So for each category: EECS, I-REC, REGO, etc.
Each technology: Any, Any renewable, Hydro, Wind, Solar, Bio, Nuclear.
For each year: 2023, 24, 25, and also each period within each year.
For each origin: i.e both each country + the larger origins like AIB Hub.
Lastly, for each currency as well.
Products are created automatically if this is the first time this product has been traded.
BUCKETS
As one could argue that EECS Hydro 2023 is a different product from EECS Hydro 2023 December as the first could be anything from January to December but the December product has guaranteed a longer longevity each of these are an individual product.
But as liquidity is also a constraint we are also aggregating both of these into something we've called a bucket. So there is a separate 2023, 2023 January, December etc but also one bucket where everything in 2023 is put. When using our API you will find an IsBucket flag
The motivation here is to get better price curves, while still allowing interested parties to have the "cleaner" products. The bucket products ends with the name All, i.e EECS 2023 Wind EUR All
CURRENCY BUCKETS
We recently also made “currency buckets”, to gather all the price points for the same product with different currencies in one closing price product.
That means an additional product for the combined prices, all converted into EUR with the current exchange rate at that time.
All these with the Any->EUR naming are currency buckets, so the above example would be
EECS 2023 Wind Any->EUR All
Same reasoning here, to get more points, resulting in better closing prices, curves and overview.