Strategies for Wind Power Trading in Sequential Short–Term Electricity Markets Franck Bourry and George Kariniotakis Center for Energy and Processes EWEC.

Slides:



Advertisements
Similar presentations
European Federation of Energy Traders 1 Electricity Regional Initiative Central-South Europe Region 4th Stakeholder Group meeting The Central South Region.
Advertisements

Italy-France Cross-border Intraday: Technical feasibility study CSE SG Group meeting Rome, 15 May 2012.
Draft document – Work in progress
Roles and Responsibilities network owners system operator(s) regulators Infrastructure brokers power exchange(s) Market Places generatorsconsumerssupplierstraders.
The information in this presentation has been collated by ELEXON and while all due care has been taken to ensure the accuracy of this information, ELEXON.
Copyright 2013 by Baringa Partners LLP. All rights reserved. Confidential and proprietary. PPA Route to Market Imbalance Risk Analysis An Update Oliver.
MISO’s Midwest Market Initiative APEX Ron McNamara October 31, 2005.
Intraday cross border continuous market and optional Intraday auctions “Economically optimized nomination phase”
Copyright Nord Pool Spot AS © June 27, 2006Anders Plejdrup Houmøller1 The KONTEK bidding area Anders Plejdrup Houmøller General Manager Nord Pool Spot.
Trading rules in Lithuania Giedrius Radvila Lietuvos energija AB 3 July 2006, Riga II MINI-FORA.
Utility Regulation March 10, 2011 Raj Addepalli Deputy Director, Electric, Office of Electric,Gas and Water New York State Department of Public Service.
Gent Summer School: Electricity Markets & Trading Gregory Michiels 27 August 2013.
ENFOR Tryggvi Jónsson, ENFOR A/S & DTU Informatics Forecasting Day-ahead Electricity Prices and Regulation Costs in Markets With Significant Wind Power.
ENERGY FUTURES MARKET. ASPECTS OF PRICE VOLATILITY  PRICE ADJUSTMENTS SUPPLY/DEMAND CHANGES. The obscure period of oncoming growth of power consumption,
Imbalance costs of wind power – how to improve the market integration of wind power Hannele Holttinen Senior Research Scientist, Team leader.
Intraday cross border continuous market and optional Intraday auctions “Economically optimized nomination phase”
Wind Power in Ireland: Treatment of wind in the Single Electricity Market APEx Conference, Paris 16 th October 2007.
1 WHOLESALE ELECTRICITY MARKET DESIGN AND STRUCTURE Massimo Parati Market Department Italian Regulatory Authority for Electricity and Gas Milan, March.
Overview of LMP Markets Features of ISOs / RTOs David Withrow Senior Market Economist Fall 2007 Meeting of the NARUC Staff Subcommittee on Accounting and.
The impacts of hourly variations of large scale wind power production in the Nordic countries on the system regulation needs Hannele Holttinen.
Financial energy futures. Future contract is a contract (liabilities of the parties) at a specified future date at a price and contract volume fixed at.
NORD POOL Market Integration: Nordic Countries APEx 2003 Conference, Catagena de Indias – Colombia, October 14 & Torger Lien, President & CEO.
Costs of Ancillary Services & Congestion Management Fedor Opadchiy Deputy Chairman of the Board.
© 2013 McNees Wallace & Nurick LLC October 17, 2013 Robert A. Weishaar, Jr. ON SITE ENERGY – INTERPLAY WITH PJM DEMAND RESPONSE PROGRAMS Harrisburg, PA.
Copyright BlueLime Consulting © July 30, 2010Anders Plejdrup Houmøller 1 How to integrate and utilize wind energy in a liberalized electricity market Anders.
Capacity Trades. Rules and Regulations Exchange rules must comply with a Contract on Accession to Wholesale Power Market’s Trading System Exchange commodity:
Welcome New York Independent System Operator. (Pre-NYISO) Regulated Market Physical contracts Regulated industry Cost Based System Two Party Deals Bundled.
January 23, 2004 Electricity risk management. Isolated markets Long term auctions Bilateral arrangements Daily auctions Paper Development of electricity.
Microgeneration and new end-use technologies in ADDRESS, INCA and SEESGEN-ICT Jussi Ikäheimo (VTT) (& Regine Belhomme, Giovanni Valtorta) IEA DSM 17 workshop.
© Vattenfall AB Managing the Business of Hydropower Nils Andersson, Vattenfall Group Function Communication.
(C) NordPool1 The Nordic Power Market Zonal Pricing Jan Vidar Thoresen Managing Director Nord Pool Consulting AS.
A NEW MARKET PLAYER: THE AGGREGATOR AND ITS INTERACTION WITH THE CONSUMER interaction Ramón Cerero, Iberdrola Distribución Paris, June 9th 2010 ADDRESS.
Challenges for the SEM.  Day-ahead price coupling is a key feature of the final draft Framework Guidelines on congestion management issued by ERGEG in.
Market design and market power in wholesale electricy markets Guido Cervigni IEFE-Bocconi University, Milan CEEM – Summer School on Economics of electricity.
Colombian Firm Energy Market: Discussion and Simulation Peter Cramton (joint with Steven Stoft and Jeffrey West) 9 August 2006.
FR-UK-IE Regional Initiative Cross-Border Balancing Procurement 26 Nov 2007 John Prime.
SUMMARY OF THE IG DISCUSSION PAPER ON THE BALANCING IN THE BALTICS Aistija Zubaviciute, NCC Baltic Electricity Market Mini-Forum 23rd November 2006, Vilnius.
System Operation Changes – Interaction with ELEXON APEx Conference: Leipzig October 2004.
Technology for demand side management and demand side bidding for grid companies. Stig Fretheim 15. Mai 2003.
PJM©2013www.pjm.com Economic DR participation in energy market ERCOT April 14, 2014 Pete Langbein.
Energie braucht Impulse Immediate Horizontal Wind Energy Exchange between TSOs in Germany since September 2004 Practical Experiences EWEC 2006, 28 February.
Capacity mechanisms in Europe The fundamental issues behind the ongoing sector enquiry Session 2 - If a capacity mechanism, which design is most appropriate?
Is there a need for a change?
Secondary legislation on renewable today and tomorrow Nicolae Opris Vicepresident, ANRE ANRE ROMANIAN ENERGY REGULATORY AUTHORITY.
Market Participant Experiences with Demand Side Bidding and Future Direction Linda Roberts, EA Technology Richard Formby, EA Technology.
Transmission Congestion Rights – Credit Perspective April 17, 2014.
Northern Mini Forum Copenhagen, 27 June 2006 Gunnar Lundberg Chair of the EURELECTRIC WG Wholesale Markets & Trading Vice Chair of the Markets Committee.
COMMENTS TO THE SOUTH-WEST EUROPE ELECTRICITY REGIONAL ENERGY MARKET Draft detailed action plan version 1, 22 June 2007.
Market mechanisms in Norway / Nordel Reserves Adequacy and Demand Response. Security of supply. Grid Operation Division, Bjørn Walther.
Wind Power Producers’ Costs And Associated Market Regulations: The Source of Wind Power Producers’ Market Power Yang Yu Stanford university 33rd USAEE/IAEE.
All Island Single Electricity Market IWFA Update Laura Brien
1 Regulatory trends in Poland Energy Regulatory Office Department for Promotion of Competition 16th September 2009.
11 Financial Derivatives Basic Understanding about Future i.Futures are always Exchange Traded (where as forward are always OTC Product). ii.Futures.
Linnfall Consulting Market design: the energy-only market model Linnfall Consulting September 2015.
Nord Pool Spot update 11th Baltic Electricity Market Mini-Forum October 01, 2010 Hando Sutter, Nord Pool Spot AS.
INTEGRATING WIND ENERGY WITH ELECTRIC SYSTEMS ERIC HIRST Consultant in Electric-Industry Restructuring Bellingham, WA December.
SESSION 1 - PART 1: EUROPEAN MARKETS SITUATION “MARKET TRANSPARENCY SITUATION IN EUROPE” Maria luisa Huidobro President & CEO of OMEL 2006 APEX Conference.
SESSION 1. Part 4 IMPORTANCE OF INTRADAY AND ADJUSTMENT MARKETS José Javier González Market Operations Director OMEL 2008 APEX Conference Sydney, October.
Electricity Markets Simon Watson. Overview UK as exemplar The state-owned Electricity Supply Industry The Electricity Pool Hedging Your Bets! Deregulation.
Historic Developement of the Nordic power market Egil Eriksson 1.
- 1 - Presentation reference Demand Side Bidding - an IEA Development Project for Competitive Electricity Markets Presentation to Metering Europe 2002.
Interconnector Physical Notification submissions following XBID (Cross Border Intra Day) market implementation; the cross border gate closure definition.
Energy System Investment and Risk Management Unit 2C: Electricity Trading and Renewables Simon Watson, CREST Loughborough University.
14ELP0/644: Energy System Investment and Risk Management Unit 2D: Electricity Markets and Renewables Simon Watson, Loughborough University.
Electricity Markets Simon Watson.
Lithuanian PX Giedrius Radvila AB “LIETUVOS ENERGIJA” Minifora Vilnius
More than 40% wind. How do the Danes do it?
Intraday cross border continuous market and optional Intraday auctions
Ahmad Elberry, Abdelghani Aljayyousi
Intraday cross border continuous market and optional Intraday auctions
Presentation transcript:

Strategies for Wind Power Trading in Sequential Short–Term Electricity Markets Franck Bourry and George Kariniotakis Center for Energy and Processes EWEC 2009, Marseille

2 Wind Power in Europe Challenges: Economic and secure operation of a power system Competitiveness of wind energy in a liberalized electricity market Installed capacity EWEA’s 2007 scenario for wind energy installations up to 2030 Source: EWEA

3 Objective To develop a methodology for the optimal participation of independent wind power producers in day–ahead and intraday electricity markets; –Aim : reduction of imbalance penalties resulting from low predictability of wind generation

4 Hypothesis : Balance Responsible Wind Power Producer Selling bids : A wind power producer is assumed to be an energy producer participating in the electricity market with only selling bids. Balance responsible : –Energy imbalance is the difference between the contracted and the delivered energy; – Imbalance penalties may apply ═ ►reduction of the revenue.

5 Day–ahead and intraday market description Day – ahead market: Submission of bids the day before the energy delivery; Power exchange sessions; OMEL, SpainElbas NordPool, Nordic Countries 6 power exchange sessions with the gate closure time 2h15 before the start of the energy delivery period. Continuous trading till one hour before delivery. Examples : Intraday market: For enabling & encouraging self–balancing of market parties (adjustment market ); Different mechanisms such as power exchange sessions, power exchange continuous trade or Over The Counter (OTC);

6 Sequential bids in day–ahead and intraday markets: D D+1 Day-ahead market participation D+2 Intraday market participation Example of a combined participation in the Elspot and Elbas markets (NordPool). Bids in the Elbas market are proposed 6 hours before the delivery time.

Model of the participation in the day–ahead market Bid ( price-taker ) Market settlement  Contract Quantity: E b0 = P pred × ΔtQuantity: E c0 = E b0 Price : Π b0 = 0Price : Π c0 = Π c0 market Day–ahead bid [E b0,Π b0 ] : –Price taker hypothesis : price independent bid, at zero price; –Bid quantity based on the available wind power forecast. Market settlement : –Unique market price resulting from meeting aggregated purchase/sale curves (marginal pricing); –Accepted energy quantity dependent on the bid price; all price taker bids are accepted. 7

8 Model of the participation in the intraday market Intraday bid [E b1*,Π b1* ] : [E b1*,Π b1* ] are the results of a DECISION MAKING method which aims to reduce imbalance penalties. Market settlement ( for continuous trade market ) : –Trade occurs when the selling and buying bids match; –The contract price is the bid price (pay as bid pricing); –The contracted energy quantity depends on the buying bids of the other participants : α : proportion of traded energy over the bid quantity Bid Market settlement  Contract Quantity: E b1* Quantity: E c1 = α × E b1* Price : Π b1* Price : Π c1* = Π b1*

Modeling of α : E c1 = α × E b1* α = probability(Π b1* ≤ Π c1 ) = 1 – probability(Π c1 < Π b1* ) = 1 – F(Π b1* ) Model of the participation in the intraday market 9 Intraday market price distribution model: Triangular distribution model; Estimated from [min(Π c1 ), mean(Π c1 ), max(Π c1 )] F f Example: Elbas (NordPool ) 11/04/2004 at AM (prices in DKK/MWh) : α = 0.91 Π b1* =181.2 mean = Π b1

Imbalance penalty model (1/2) Contract Income E c0 × Π c0 E × Π c ====== Revenue Π c0 : Day–ahead contract price E c0 : Day–ahead contract energy Π c1 : Intraday contract price E c1 : Intraday contract energy Π + /- : Positive/Negative Imbalance price E : Delivered energy Regulation costs (E c0 –E) × Π + /- δ (E ) { (E - E c0 ) × (Π c0 – Π + ), E > E c0 (E - E c0 ) × (Π c0 – Π - ), E ≤ E c0 δ (E) = Day–ahead market participation E × Π c0 - = E c1 × (Π c0 – Π c1 ) + δ (E –E c1 ) Production IncomeImbalance Penalty Day–ahead and intraday market participation: 10 δ’ (E) = E c1 × (Π c0 – Π c1 ) + δ (E – E c1 )) Revenue { {

11 Imbalance penalty model (2/2) Imbalance price : Proposed model (valid in the NordPool system for example) δ E E C0 δ E System down– regulation System up– regulation Π + <Π c0 Π + =Π c0 Π - =Π c0 Π - >Π c0 E C0 E C1 Delivered energy δ'δ' E C1 x( Π C0 – Π C1 ) δ δ (E ) δ (E –E c1 ) δ’ (E) = E c1 × (Π c0 – Π c1 ) + δ (E – E c1 )) { Hedging cost

12 General Formulation of the Intraday Bidding Problem Model for participating in the intraday market for the hour h i :  Π c0 is the day–ahead market price for the hour h i ;  E  E hi is the estimated energy delivery for hour h i ;  δ Π + Π -  δ hi is the estimated imbalance penalty function for hour h i (Π + hi,Π - hi ); α α  E c1 = α hi × E b1*, where α hi is the estimated proportion of traded energy over the bid quantity for hour h i ; E b1, Π b1 αδEα [E b1*, Π b1* ] = argmin( (Π b1 – Π c0 ) × α hi × E b1 + δ hi (E hi – α hi ×E b1 ) ) hihi hihi hihi hihi E b1, Π b1 [E b1*, Π b1* ] = argmin( δ’ (Π b1, E b1 ) ) hihi hihi

Proposed intraday bidding approach α δE α δ’ (E b1, Π b1 ) = (Π b1 – Π c0 ) × α × E b1 + δ (E – α × E b1 ) E b1 Π b1 Π+Π+ E E – E c0 System down– regulation System up– regulation E b1 Π b1 Π c0 = Π – Π–Π– 0 3 α With α : Π+Π+ Π c0 Π–Π– 1 Π + = Π c0 δ’δ’ Proposed simplified approach : minimization of energy imbalance Π + Π + Π b1* = Π + + β × (Π c0 – Π + ), with – 0.2 ≤ β ≤ 1.2 ; { E E (E – E c0 ) if E ≥ E c0 ; 0 else. E b1* = E E c0 E b1*

14 Simulation methodology WP forecasts Day–ahead contract Imbalance penalties Day–ahead bid Intraday bid Intraday contract WP measures B. Market Settlement B. Bid Balance settlement Up/down regulation price Market price Up/down regulation price forecast M. S. Delivered energy

15 Case Study Test case based on real world data; 18 MW wind farm in Denmark; Wind power forecasts from a statistical model, based on power curve modeling; Participation in the Nord Pool day–ahead (Elspot) and intraday (Elbas) markets from January to March 2004 (3 months); Penalties associated to the balancing mechanism are applied.

16 Results Π b1* Π + Estimation of the regulation price Π + = constant Perfect knowledge of the regulation price Π + Π + Π b1* = Π + + β × (Π c0 – Π + ), with – 0.2 ≤ β ≤ 1.2 ;

Π + Π + Π b1* = Π + + β × (Π c0 – Π + ), with – 0.2 ≤ β ≤ 1.2 ; E c1 = α × E b1*, with α = 1 –F(Π b1* ). { E E (E – E c0 ) if E ≥ E c0 ; 0 else. E b1* = 17 Results Π b1* E c1 Π + Estimation of the regulation price Π + = constant Perfect knowledge of the regulation price no intraday

18 Results -18 % Π + Estimation of the regulation price Π + = constant Perfect knowledge of the regulation price

19 Conclusions A model for the settlement of continuous trading market is proposed. This model is based on the available data of market prices; The participation in an intraday market is formulated as a hedging method which aims to reduce the imbalance penalties. The present case study shows that the participation in the intraday market can reduce the imbalance penalties by up to 18 %.

Thank you for your attention 20 ARMINES participates in: This work was performed in the frame of the Anemos.Plus project (FP 6).