If large natural gas firms also generate electricity, is this detrimental for trade and competition? I consider eastern Australia, where three large firms dominate the market for natural gas, and also generate a significant volume of electricity from all fuel types. This is a unique opportunity to study the links between gas and electricity, because both markets are deregulated, and organized as uniform-price auctions. I also make a methodological contribution, by undertaking the first estimation of a supply function equilibrium with asymmetric information. Two potential issues arise. First, when gas firms generate electricity from non-gas fuels, such as coal and renewables, they may have an incentive to raise the gas costs for rival gas-fired generators, because this is passed through to higher electricity prices. I estimate that this has raised the price of gas on average, but by a modest 0.8 percent. Second, when gas firms generate electricity using gas as a fuel, they can use the realized gas price to improve their forecast of their own electricity generation levels. The resulting adverse selection problem leads to steeper gas-market supply schedules, and has reduced gains from trade by 10 percent on average. For the Australian market, adverse selection is more important, and increasing the frequency with which the gas market is cleared could improve market outcomes.