Context

The Optimisation department secures the gross margin of the company by hedging its energy portfolio exposures on wholesale energy markets. It is a young and dynamic team in a challenging market environment where people are encouraged to take ownership in a positive atmosphere.

Within the Optimisation department, the Sales Interface & Pricing team is the link between the trading desk and the sales departments. In an ever-evolving energy sector, its methodologies in place need to be constantly challenged and improved to find a proper balance between the risk appetite of the company and the competitiveness of Luminus on the market. The team also manages the Market Data Modelling system.

Mission

The Market Data Modelling system is an automated SAS (Statistical Analysis System) that enables Luminus to collect raw market data (mainly gas and power price quotes for Belgian and neighboring markets) and to redistribute them across the company in the format and granularity requested by the end user. The output from the MDM system is indispensable to many business processes mainly retail & B2B invoicing, transfer prices for the B2B price engine and valorization of positions in Aligne. It also feeds the MDM dashboard, which is a website where Luminus employees can go to consult graphs, tables and download files relating to historic prices, important price indices and other related information.

As the person responsible for the product vision, strategy, and roadmap of MDM, you will play a key role in driving the future direction of this system. Currently written in SAS, MDM does not meet the current standards to do the shift towards a platform based on Python. This is where the Neo data platform comes in. Developed by Luminus over the past few years, Neo is a modern data platform that utilizes the power of Python and the AWS stack to provide scalable and flexible data storage, processing, and analytics capabilities. It has become the standard for analytics at Luminus. In the mid to long term, a migration to the Neo platform may be necessary to ensure that MDM remains up to date with current standards and provides the best possible user experience.

Based on forward market data and historical prices (for granularities where forward data are not available), the MDM systems builds forward curves for different markets based on agreed and described methodologies. These methodologies will have to be regularly reviewed in alignment with different stakeholders in the company and documentation will have to be updated accordingly.

On top of the above long term strategic decisions regarding MDM, you will be tasked with ensuring the day-to-day operations of the systems.

On the one hand, this includes close monitoring of the daily automated runs of MDM that take place several times a day. The system has built-in safety procedures which block certain parts of the system’s functionality in case of erroneous or suspicious values (e.g. when uploaded quotes are above the predefined volatility thresholds). When this happens, relevant actions need to be taken incl review with traders, analysis of data received from external providers.

On the other hand, this includes making improvements to the code base. E.g., you might be asked to review the calculation of certain curves or to add the calculation of a specific index to a set of output files.

Besides the requirements mentioned above, this job entails the following responsibilities:

• Proactive fundamental review of the SAS modelling with focus on businesscontinuity
• performing contract management with external data providers
• answering ad-hoc price requests from colleagues

You will be working within a closely knitted pricing and more in general optimisation team.

• You have a profound knowledge of SAS and some proficiency in Python. Knowledge of Qlik is a plus.
• The ability to effectively navigate and understand a complex, modular code base while keeping sight of the overall architecture and goals of the system.
• You have excellent writing and communication skills in English and/or in French.
• You are able to perform analysis autonomously and to prepare resulting conclusions on findings for management.
• You have a minimum of three to five years of relevant work experience in a similar role with proven track record of successful projects in energy or banking industry.
• Know-how of the wholesale energy or financial markets markets.