Nonagon

Replay How Every Intraday Price Forms

Get a timestamped VWAP snapshot roughly every 5 minutes for every delivery contract across 16 European markets, with no look-ahead bias.

Your Intraday Price Dataset for Traders, Quants, and Analyst Teams

Volue Market Data records how every intraday delivery contract’s price forms through the trading day, as timestamped VWAP (volume-weighted average price) snapshots. 

Knowing only the settled price for a delivery contract tells you nothing about how it got there. Late news, an unexpected wind ramp, or a UMM can move a contract’s VWAP in the hours before gate closure. To backtest entry and exit timing or benchmark a forecast, you need the price that was actually observable at each moment in history, so you can uncover the trends. 

Intraday Contract Actuals are part of Volue Market Data, offering snapshot data across 16 European markets. These are sourced from EPEX Spot and made available as instance curves through an API, a Python client, and an Excel Add-In.

KEY FEATURES

Instance-by-Instance VWAP Formation

A new instance roughly every 5 minutes captures the VWAP from all trades executed up to that moment. Replay exactly how a contract’s price formed, from about 36 hours before delivery to gate closure.

Point-in-Time Instances

Each instance is timestamped at creation, capturing only the trades observable at that moment. Your historical analysis sees the market exactly as it was. A must-have approach for backtesting.

Rich Intraday Metrics

Go beyond VWAP data with ID1, ID3, ID500, id30min, and the maximum and minimum of the last five minutes.

The Only German Sub-Zone Snapshot

The only price-snapshot product for DE-50Hz, DE-AMP, DE-EnBW, and DE-TTG, where no plain continuous price actuals exist.

Instance-by-Instance VWAP Formation

A new instance roughly every 5 minutes captures the VWAP from all trades executed up to that moment. Replay exactly how a contract’s price formed, from about 36 hours before delivery to gate closure.

BENEFITS

Better-Timed Trades

Understand how a contract’s price forms and time intraday entries and exits with more confidence.

Systematic Forecast Benchmarking

Score intraday price forecasts against an aligned realized VWAP for hit-rate and P&L assessment.

Clearer Execution Analysis

Analyze intraday price journeys and execution quality after the trading session.

No In-House Capture

Skip the error-prone work of capturing and structuring EPEX VWAP snapshots yourself.

A Realized Actuals Layer

Anchor your intraday strategy and analytics on a reliable, consistent dataset.

USE CASES

Intraday traders need to see how a delivery hour’s price moves from the first trade to gate closure, not just where it settles. Volue Intraday Contract Actuals replays each contract snapshot by snapshot, revealing how late news, a wind ramp, or a UMM moved the price. You read price formation through the trading day and react with a clearer view of how the contract is converging.

Quant and algo developers backtest intraday strategies, but continuously revised series leak future information into the past. Volue Market Data gives you point-in-time instances, each timestamped at creation, so a backtest sees only the VWAP that was observable at that moment. You evaluate entry and exit timing on credible data.

Forecast-validation teams need a realized benchmark to measure intraday price-forecast accuracy. Volue Market Data supplies the realized VWAP at the equivalent moment and window, aligned to the forecast. You score hit-rate and P&L systematically and consistently across markets.

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