Simulator for the Hellenic Wholesale Electricity Market K. Sakellaris, A. Vlachos, K.Perrakis Regulatory Authority for Energy (RAE), Athens, Greece Michael C. Caramanis RAE & Boston University, USA Sidart Deb LCG Consulting, USA Presented by: Kostis Perrakis PROMETHEAS -2 CONFERENCE, 9-10 OCTOBER 2008

The Hellenic Electricity Market Market structure: PPC, the national integrated utility still retains very high market shares Wholesale: 95% of capacity, 96.2% of energy Retail: ~ 100% (99.99%) Wholesale Market model: mandatory pool All generators and suppliers / consumers within the country have to transact within the Day-Ahead market organized by HTSO (the Hellenic System Transmission Operator) No bilateral transactions with physical delivery PROMETHEAS -2 CONFERENCE, 9-10 OCTOBER 2008

the Hellenic Wholesale Electricity Market ( Law 3426/2005 and 2005 Market Code ) Day Ahead market (mandatory pool, 24 hrs horizon) main volume of electricity trading Reserves Real-Time Dispatch (5 min. Economic Dispatch) Imbalances Settlement PROMETHEAS -2 CONFERENCE, 9-10 OCTOBER 2008

Security Constrained Day Ahead Schedule On the Day After the Day Real time dispatch Dispatch Instructions and Adjustments of Day Ahead Schedule Energy and reserves schedule, satisfying System and Generating Units constraints Dispatch Instructions and Forced Production Changes Imbalances Settlement Calculation of Imbalances between Measured and Scheduled Production (not including Forced Production Changes). Settlement at the Imbalances Marginal Price. Additional payments for Forced Production Changes. Measurement Data Security Constrained Day Ahead Schedule Imbalance payments and charges. Charges for reserves and ancillary services used. Payments for reserves and ancillary services provided Declarations of Load and Exports (may be priced) Day Ahead P Q SMP System Marginal Price (single for Suppliers, zonal for Generators), Primary and Secondary Reserve Prices Energy and Reserve Offers, Techno-Economic Declarations, Non-Availability Declarations Importers Hydro and Renewables Producers Payments Charges Suppliers Exporters Pumping Units HTSO Transmission System constrains, Reserves needs, Market Split rules DAS Settlement of Accounts for Energy PROMETHEAS -2 CONFERENCE, 9-10 OCTOBER 2008

PROMETHEAS -2 CONFERENCE, 9-10 OCTOBER 2008 Simulator Overview several modules (simulating modules and auxiliary modules) Load Flow (LF) of the Greek transmission system Day-Ahead Market (DAEMC) Economic Dispatch (ED) – 5 min. Financial Settlement of Differences (FSoD) Natural Gas Transportation System (NGTS) PROMETHEAS -2 CONFERENCE, 9-10 OCTOBER 2008

PROMETHEAS -2 CONFERENCE, 9-10 OCTOBER 2008 Simulator Overview PROMETHEAS -2 CONFERENCE, 9-10 OCTOBER 2008

PROMETHEAS -2 CONFERENCE, 9-10 OCTOBER 2008 Simulator Overview Common methodologies and techniques, related to power systems operation and optimization Special modelling and simulating functionalities integrated in the system in the sense of providing even more realism to the operations simulated. PROMETHEAS -2 CONFERENCE, 9-10 OCTOBER 2008

PROMETHEAS -2 CONFERENCE, 9-10 OCTOBER 2008 DAEMC (1) simulates the Day-Ahead market algorithm determines quantities and prices (optimal schedule & uniform equilibrium prices) maximizing social welfare for the 24 hourly periods of the next day simultaneously. Practically, a Unit Commitment (UC) solver, as it performs an optimization, using Mixed Integer Programming (MIP). PROMETHEAS -2 CONFERENCE, 9-10 OCTOBER 2008

Solving the DAEMC: hourly equilibrium MWh €/MWh Load Surfaces left of the load curve correspond to Load Declarations that are being served Load Declarations without price component System Marginal Price (SMP) RES, Mandatory Hydro Operations Surfaces under the equilibrium price are collected by the Producers The credits and debits are settled at the System Marginal Price PROMETHEAS -2 CONFERENCE, 9-10 OCTOBER 2008

PROMETHEAS -2 CONFERENCE, 9-10 OCTOBER 2008 DAEMC (2) Objective function Cost of energy injected ‘Value’ of energy consumed Cost of primary, secondary and tertiary reserve Cost of unit de-commitment (costs and values based on participants’ offers and bids) PROMETHEAS -2 CONFERENCE, 9-10 OCTOBER 2008

PROMETHEAS -2 CONFERENCE, 9-10 OCTOBER 2008 DAEMC (3) Constraints: Energy Balance: Energy balance for each zone, Priced Demand Constraint A/S Requirements: Primary, Secondary, Tertiary Reserve Constraints Unit Constraints: Upper bound of capacity block, Maximum available production, Technical minimum, Combined energy and reserve margins contribution, Primary, Secondary, and Tertiary Spinning Reserve Capability, Ramp Up/Down, Minimum Up / Down time Zone/Zonal Energy Flow: Imported and Exported energy limit at interconnection nodes, Upper limit of energy flow between Zones Initial Conditions PROMETHEAS -2 CONFERENCE, 9-10 OCTOBER 2008

PROMETHEAS -2 CONFERENCE, 9-10 OCTOBER 2008 DAEMC (4) Infeasibilities Slack variables are used for all constraints which could potentially render the problem infeasible prioritization of respective cost coefficients (´penalty factors´), eg.: 100,000 Euro/ MWh for energy deficit 20,000 Euro/ MWh for secondary reserve deficit 10,000 Euro/ MWh for tertiary reserve deficit PROMETHEAS -2 CONFERENCE, 9-10 OCTOBER 2008

Economic Dispatch (ED) Dispatches already committed units every 5 min (DC-OPF) Based on Day-Ahead offers and bids Unplanned variability (generators, load, renewables) taken into account Look-ahead capability: e.g. 13 periods (of 5 min. each), to account for generators ramping up/down Recommitment (to simulate decisions taken in real time whenever a significant event takes place) Uninstructed deviations: capture the effects when generators do not follow instructions and dispatch orders PROMETHEAS -2 CONFERENCE, 9-10 OCTOBER 2008

PROMETHEAS -2 CONFERENCE, 9-10 OCTOBER 2008 Volatility Module simulates unplanned variability Generates “real life” events: a. Random and Unforeseen Events, modeled using Monte Carlo Simulations, regarding Generator Availability Changes in Demand Changes in the Renewables Output b. Deliberate actions by market participant (e.g. not following a dispatch order), specified by user input. Follows predefined or customized probability distributions, and patterns of specific strategic participant behavior. PROMETHEAS -2 CONFERENCE, 9-10 OCTOBER 2008

Financial Settlement of Differences (FSoD) Input: the results of the DAEMC and the ED Output: the deviations of the ED from the DAEMC (for all ´products´, i.e. energy & reserves) the financial settlement (credit / debit) resulting from these deviations PROMETHEAS -2 CONFERENCE, 9-10 OCTOBER 2008

PROMETHEAS -2 CONFERENCE, 9-10 OCTOBER 2008 NGTS Module simulates the operation of the Hellenic Natural Gas Transportation System (NGTS) Checks the ability of the NGTS to accommodate the expected operation of the gas-fired plants, on the basis of the output of the DAEMC and ED Modules (taking also into account the needs of the rest of the natural gas consumers in Greece) PROMETHEAS -2 CONFERENCE, 9-10 OCTOBER 2008

Modules integration and s/w development: (1) core software All modules, apart from the NTGS simulation engine, were originally programmed and integrated under a common user interface. The main programming language used is .Net®. The NTGS module uses externally commercially available software, PipeLine Studio®. The DAEMC and ED modules utilize the core optimization engine of CPLEX®. The LF module uses the commercially available UPLAN® software as its core. The ED module was essentially written from ground up, but contains some proprietary algorithms which were taken from the UPLAN® system. The Volatility and FSoD modules were created uniquely for the simulator. PROMETHEAS -2 CONFERENCE, 9-10 OCTOBER 2008

Modules integration and s/w development: (2) user interface Rich collection of panes and tabs that provide quick and easy access to input data, configuration and execution parameters, and results. Traditional powerful searching and filtering techniques that facilitate viewing and editing relevant input data. Built-in charting capability for time series data graphical representation. All features Integrated in simulator providing a streamlined, user-friendly, and very effective user Interface. PROMETHEAS -2 CONFERENCE, 9-10 OCTOBER 2008

Modules integration and s/w development: (3) user interface Software architecture is such that allows for maximum configurability providing a versatile simulation environment The user can edit and change every input data and parameter, which makes it possible to construct any simulation scenario. Two very powerful features, enhancing flexibility: Generic constraints in DAEMC (users can introduce constraints affecting the energy or ancillary service contribution of certain units or groups of units) Rule addition & editing in the FSoD module PROMETHEAS -2 CONFERENCE, 9-10 OCTOBER 2008

PROMETHEAS -2 CONFERENCE, 9-10 OCTOBER 2008 Next Steps actual use of the Simulator in order to: study instances of the market and strategies used by participants for market manipulation and monopolistic / oligopolistic gaming in the energy as well as ancillary services markets assess the effectiveness of current market rules as well as contemplated regulatory policy and market rule redesign development of a mathematical model capable of predicting plausible bidding strategies of market players that are compatible with the market rules in place and different objective conditions that may prevail. PROMETHEAS -2 CONFERENCE, 9-10 OCTOBER 2008

Thank you! REGULATORY AUTHORITY FOR ENERGY (RAE) Kostis Perrakis Systems Analysis Department E-mail: perrakis@rae.gr PROMETHEAS -2 CONFERENCE, 9-10 OCTOBER 2008