But the nature of such links is that they're often saturated if it makes sense to move power - so even if you have 10GW of electricity and New York are willing buyers at the price you offer if there's only 2GW of interconect you can only sell them 2GW of electricity.
As a result it can make sense for Ontario to buy electricity from Quebec and sell electricity to New York, even though Quebec is also selling electricity to New York.
