There are 4 futures contracts which expire on the last day of June, August, October and December. For instance, an electricity producer could sell 10 MWh of December futures to lock in the price of their electricity in December, thus hedging against the price of electricity. Real electricity trades daily between consumers and producers on the Chicago Electricity Spot Market, but the futures market is where traders bet on the price of electricity in the future. You are a market maker on the Chicago Electricity Futures Market. This is the first part in (hopefully) a series of my favorite trading cases.įirst, let me take you through how we tackled one of my favorite cases, building a futures market making bot on the Chicago Electricity Futures Market. So I’ve procrastinated on writing this blog post for 3 months, but I needed to get this out before I start working at a trading firm in a few weeks. Back in April, I participated in the UChicago Midwest Trading Competition with a couple of friends, and we ended up winning 2 out of 3 cases and the overall competition.
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