Following a given ordering of the edges of a graph $G$, the greedy edge colouring procedure assigns to each edge the smallest available colour. The minimum number of colours thus involved is the chromatic index $χ'(G)$, and the maximum is the so-called Grundy chromatic index. Here, we are interested in the restricted case where the ordering of the edges builds the graph in a connected fashion. Let $χ_c'(G)$ be the minimum number of colours involved following such an ordering. We show that it is NP-hard to determine whether $χ_c'(G)>χ'(G)$. We prove that $χ'(G)=χ_c'(G)$ if $G$ is bipartite, and that $χ_c'(G)\leq 4$ if $G$ is subcubic.