EP080 – Support for NYMEX Electricity Products

This proposal extends the FIX instrument model for complex NYMEX electricity and natural-gas products. These contracts can trade using daily, hourly, monthly, on-peak, off-peak or calendar delivery schedules. Their traded quantity and ultimate clearing quantity may differ because a quoted daily or hourly contract size can represent delivery across an entire month.

The solution introduces ContractMultiplierUnit and FlowScheduleType across Instrument, InstrumentLeg, UnderlyingInstrument and DerivativeInstrument. It also adds a LotType value under which minimum lot size is expressed in the instrument’s unit of measure. Together, these changes allow FIX to express whether a multiplier is stated in shares, hours or days, identify the applicable NERC flow schedule, and calculate the total cleared contract quantity from the traded unit size and delivery schedule.