A cat and mouse game is on between Europe and Russia over gas supplies as the continent switches into the winter heating season.

Since September, Russia's state-controlled Gazprom has sent less-than-requested deliveries to Poland, Slovakia, Austria and Hungary — after the European Union began sending gas to Ukraine — in a clear warning from Moscow ahead of the winter heating season which officially starts on Oct. 1, when the industry switches to higher pricing.

"Nobody should be surprised by what Russia does. They want to keep pressure on Ukraine... at the start of the heating season," said Michael LaBelle, a gas expert at the Central European University in Budapest.