Market Data Dashboard
Real-time electricity pricing analytics - CAISO Markets
LIVE
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NP15 (North)
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$/MWh
Energy:
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Congestion:
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Loss:
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SP15 (South)
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$/MWh
Energy:
--
Congestion:
--
Loss:
--
ZP26 (Central)
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$/MWh
Energy:
--
Congestion:
--
Loss:
--
24-Hour Price History
Duck Curve - Hourly Averages
β‘ Market Making Arbitrage Spreads
Location Arbitrage
NP15 - SP15
North/South spread trading opportunity
π Live Trading Analytics (Proprietary Strategies)
π° Live Strategy P&L
Mean Reversion Spread Arbitrage
Today
+$847
This Week
+$3,421
Month-to-Date
+$12,483
Sharpe Ratio
2.3
PERFORMANCE METRICS
Win Rate:
68%
Max Drawdown:
-$1,205 (Nov 2)
ACTIVE POSITIONS
β LONG NP15-SP15 @ +$4.50
Current: +$6.20 | P&L: +$170
β SHORT ZP26 @ $32.40
Current: $31.80 | P&L: +$60
π― Spread Arbitrage Signals
Statistical Mean Reversion
NP15-SP15 Spread
+$8.45
Z-Score:
+2.8 β οΈ RICH
20-Day Mean:
+$2.10
1-Std Dev:
$2.30
π΄ SELL SIGNAL
Spread 2.8Ο above mean
Expected mean reversion: 3-6 hours
Historical success: 82% (n=47)
Target: $2.10 | Stop: $10.50
BACKTEST PERFORMANCE
Avg Profit/Trade:
$6.80
π¦ Duck Curve Exploitation
California Solar Arbitrage Strategy
10am-2pm: "The Belly"
Solar ramp β Prices DROP $15-25 β BUY
4pm-7pm: "The Neck"
Solar collapse β Prices SPIKE $35+ β SELL
90-DAY BACKTEST
Win Rate
78%
Avg Profit
$8.40/MWh
Sharpe Ratio
3.1
Max DD
2 losses
β‘ Congestion Arbitrage
Transmission Constraint Detection
π¨ CONGESTION EVENT DETECTED
Path 15 Constraint
Time: 14:23 PST
Congestion: $18.40/MWh (vs avg $2.10)
IMPACT ANALYSIS
NP15:
$45.20 (+$12)
SP15:
$28.80 (-$3)
Spread Widened:
$16.40 (2.9x)
TRADING IMPLICATION
SHORT spread, cover on normalization
Avg reversion: 3.2hrs | Profit: $4.50/MW
π‘οΈ Risk Management
Portfolio Risk Metrics
CURRENT EXPOSURE
Net Delta:
+45 MW
Gamma:
Low
Vega:
Minimal
VALUE AT RISK (95%)
1-Day VaR
$425
5-Day VaR
$1,240
POSITION LIMITS
Limit:
100 MW gross | 50 MW net
67% utilized
βοΈ Execution Quality
Last 50 Trades Analysis
Avg Slippage
0.8 bps
Fill Rate
94%
Avg Fill Time
4.2 min
BEST PRACTICES
β Never chase - use limit orders
β Split large orders across 15-min intervals
β Avoid high volatility periods
β Target bid-ask spread middle
VS NAIVE MARKET ORDERS
Saved $127/trade on average
15% better effective price
π§ Predictive Alpha Model
Next Hour Price Forecast vs Actual (Random Forest ML Model)
RMSE (30 Days)
$2.14
vs $4.82 persistence model
Directional Accuracy
73%
Correct direction prediction
Profitable if Traded
75%
67/89 trades would profit
MODEL FEATURES
β’ Historical LMP patterns
β’ Congestion component analysis
β’ Hour-of-day seasonality
β’ Day-of-week patterns
β’ Rolling volatility
β’ Recent trend momentum