In 1999 the European Commission took the initiative to set up the European Gas Regulatory Forum of Madrid. The Forum convenes twice a year in Madrid co-hosted by the Fundación de Estudios de Regulación and consists of national regulatory authorities, Member States, the European Commission, Transmission System Operators, gas suppliers and traders, consumers, network users, and gas exchanges.

The Forum was set up to discuss issues regarding the creation of a true internal gas market, which are not addressed in the Directive. The most important issues addressed currently at the Forum concern cross border trade of gas, in particular the tarification of cross border gas exchanges, the allocation and management of scarce interconnection capacity and other technical and commercial barriers to the creation of a fully operational internal gas market.