It's not a scam, but you're correct that they don't produce anything physical. Their point is to mostly converge disparate markets. So if they notice a separati

It's not a scam, but you're correct that they don't produce anything physical. Their point is to mostly converge disparate markets. So if they notice a separation between day ahead and real time prices, they can make money off of that while helping to plug a hole in the market as that could be the result of bad data...etc. There is an on-going debate as to whether their involvement (most of the financial only players are banks) is really that helpful as it can cause other issues if they do a bad job and cause divergence.