Contigo enhances its enTrader ETRM solution with Monte Carlo VaR functionality and Nord Pool day-ahead connectivity

Contigo is constantly enhancing the features and functionality of its software and implementing its product roadmap. Its ETRM solution, enTrader®, is increasingly recognised for its ability to support customers in managing the current and future challenges of European energy markets. 

Two new features will soon be available within  enTrader to enhance the system’s capabilities and make energy trading both smarter and simpler: 

  • A Monte Carlo VaR (Value at Risk) module 
  • Enhanced Nord Pool day-ahead connectivity 

Simon Wheeler, CEO of Contigo Software, comments: “Trends over the last year indicate that trading firms are moving towards dynamic best-of-breed ETRM solutions that easily integrate with key operational systems to provide streamlined straight-through processing. 

“By enhancing our product capabilities through the implementation of our roadmap, we can ensure we are delivering smart ETRM solutions that accurately reflect evolving client and industry needs.” 

New Monte Carlo VaR (Value at Risk) engine 

Contigo has enhanced the risk management capabilities of the enTrader ETRM product with the introduction of a highly functional Monte Carlo VaR (Value at Risk) module, that provides an alternative way to calculate VaR for a trading portfolio. 

VaR is a standard measure for assessing risk that is widely used across the trading world. VaR estimates the risk of loss for trades and positions, with a given probability, for a set of market conditions, over a set number of days. 

Monte Carlo VaR uses simulations to predict the volatility in a portfolio by modelling the probability and impact of changes in the market conditions that cannot otherwise be easily predicted. 

The Monte Carlo VaR engine from Contigo is fully managed in-house and complements the existing Delta Normal VaR functionality within enTrader.  

As part of the Energy One Group, Contigo’s Monte Carlo VaR functionality leverages the proven Risk Engine of parent company, Energy One,  to calculate the volatilities and correlations and perform the price simulations. The results are then viewable within enTrader.  

This significant integration between Contigo and Energy One’s capabilities combines energy trading and risk analysis expertise from across the group.  

Nord Pool day-ahead connectivity 

Contigo is adding to the list of exchanges and broker platforms available to customers by enhancing its Nord Pool day-ahead connectivity, to enable straight-through-processing of trades into enTrader. 

Nord Pool is a power market in Europe covering all the Nordic countries. enTrader has enabled connectivity to Nord Pool N2EX (the name given to the GB power market) for many years, but recently, Nord Pool deprecated its older API.  

Therefore, Contigo took the opportunity to upgrade its interface to Nord Pool’s REST-based day-ahead API.  

As a result, enTrader’s coverage has now expanded to include GB hour and half hour auctions as well as the central western Europe markets, which include DE (Germany), AT (Austria), NL (Holland), FR (France), NP (Nordic Power), BE (Belgium) and DK (Denmark). 

Contigo will be looking to add more auctions and commodities as Nord Pool moves them over to the new API. 

This major development comes only months after Contigo added the facility to integrate enTrader seamlessly with the Intercontinental Exchange (ICE), and ICE Endex, to further support fast, effective decision making and enable straight-through processing of trades into enTrader. 

Additional new functionality includes a REST API, to support integration with the cloud-based business analytics service Microsoft Power BI, through an ODATA connector. This enables users to create bespoke dynamic reports using enTrader data, to support management reporting and analytics. 

Can we support you? 

Contigo’s award-winning enTrader ETRM solution is a multi-commodity, multi-user, time-series based system that supports the full trade lifecycle from deal capture and risk management through to settlement processes. 

If you are interested in discovering more about enTrader, its Monte Carlo VaR engine or its Nord Pool day-ahead capability, please contact us. 

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