Posting Date: 08/01/2015 Gentry Crowson, Market Forensics

Transcription

1 VRL Analysis Posting Date: 08/01/2015 Gentry Crowson, Market Forensics

2 2 Contents Executive Summary... 3 Background... 6 Analysis of OC Breach Characteristics in the Marketplace... 8 VRL Yearly Analysis

3 3 Executive Summary This report analyzes the occurrences and trends of Violation Relaxation Limits (VRL) and their impact to economics and reliability. The VRL analysis focused on the July 2013 through February 2014 time period for the EIS market used historical data from prior reports for comparisons and the March 2014 through June 2014 period for the Integrated Marketplace. This report will focus on July 2014 June 2015 time period for the Integrated Marketplace. The Integrated Marketplace utilizes Violation Relaxation Limits (VRLs) to assist in quickly arriving at the best possible dispatch solution. When it is infeasible to simultaneously enforce all of the defined constraints at a Shadow Price less than the predefined VRL, SPP applies the VRL in the solution. The Integrated Marketplace VRL categories are; Violation Relaxation Limit Categories Integrated Marketplace Spinning Reserve requirement Operating Constraint (OC) Resource Ramp Constraint Global Power Balance Constraint Resource Capacity Constraint Table 1 Tables 2&3 provide a summary of VRL instances for the Integrated Marketplace for the analysis periods along with a comparison to historical values. An instance is any occurrence of a VRL, therefore, OC constraints could result in multiple instances per interval if VRL is applied to more than one constraint. There were no resource capacity or global power balance constraint occurrences for the time periods analyzed and a few resource ramp constraint instances which all are shown in Tables 2&3. VRL Yearly Analysis

4 4 VRL Instances Summary (Marketplace) Day-Ahead Mar 2014 Jun 2014 Real-Time Total Avg/Month Total Avg/Month Spinning Reserve Operating Constraint ,055 1,513 Resource Ramp Constraint Global Power Balance Constraint Resource Capacity Constraint *Day-Ahead interval is hourly and Real-Time is 5-minute Table 2 VRL Instances Summary (Marketplace) Day-Ahead July 2014 Jun 2014 Real-Time Total Avg/Month Total Avg/Month Spinning Reserve Operating Constraint 4, ,507 1,542 Resource Ramp Constraint Global Power Balance Constraint Resource Capacity Constraint *Day-Ahead interval is hourly and Real-Time is 5-minute Table 3 VRL Yearly Analysis

5 5 Block VRLs for OC were implemented on March 25, 2011 and carried forward in the design of the Integrated Marketplace. The previous year s VRL analysis ( ) provided data through June 2014 and this year s analysis focuses on the following periods; July 2013 February 2014 (Block VRL EIS since last VRL analysis) March 2014 June 2014 (Block VRL - Marketplace) July 2014 June 2015 (Block VRL Marketplace) For all periods in the analysis, Spinning Reserve and Resource Ramp constraints account for less than 1% of all intervals in the Integrated Marketplace. Therefore, for the purposes of this document, analysis will focus on the Operating Constraint (OC) and the term VRL will represent the OC VRL unless otherwise stated. The data examined and analysis conducted by SPP of the use of VRL results in the following preliminary conclusions and recommendations: SPP recommends maintaining the current levels for VRL o Average Shadow Price for breached intervals has decreased since June 2013 even though the number of OC breached instances has increased o Average Shadow Price has decreased for binding instances since June 2013 but VRLs are not applied when constraints are binding (constraint reached but not exceeded), therefore, this is not a result of VRL levels o Breached instances where VRLs have been applied continue to account for a small portion (~2.8%) of all congested intervals o The occurrences of Spinning Reserve VRL being applied is < 1% of all intervals in the Real-Time Market and none in the Day-Ahead SPP will continue to monitor and analyze VRL occurrences and its impacts to prices and reliability in the Marketplace going forward. VRL Yearly Analysis

6 6 Marketplace: Background The application of VRLs in Marketplace is similar to that used in the EIS. The Market Clearing Engine (MCE) is used in both Day-Ahead and Real-Time to co-optimize across multiple products while adhering to constraints. VRLs are applied in the SCED solution of Day-Ahead and Real-Time when all constraints cannot be enforced at a Shadow Price less than a predefined VRL. The VRL categories for Marketplace are the same as the EIS with the addition of a Spinning Reserve constraint category. Table 4 below shows the categories for VRL in both the EIS and Marketplace. The category names differ slightly between the EIS and Marketplace but represent similar applications of VRLs. VRL Values (EIS & Marketplace) Constraint Type Description VRL [$/MW] Spinning Reserve requirement * Operating Constraint (OC) Resource Ramp Constraint Global Power Balance Constraint Resource Capacity Constraint A MW value representing the Spinning Reserve requirement. A MW limit that can be imposed on SPP related to MW flow across a market node, a manually-identified transmission constraint, a Watch List transmission constraint, a flowgate constraint, or a transmission constraint identified by SPP s real-time contingency analysis. The ramp capability of a resource as indicated in the resource plan. Energy needed to balance resources and load. The minimum and maximum MW dispatchable output of a resource as indicated in a Resource Offer. $200 $500 when the loading is greater than 100% and less than or equal to 101% at each network constraint at each Operating Constraint. $750 when the loading is greater than 101% and less than or equal to 102% at each network constraint $1,000 when the loading is greater than 102% and less than or equal to 103% at each network constraint $1,250 when the loading is greater than 103% and less than or equal to 104% at each network constraint $1,500 when the loading is greater than 104% at each network constraint $5,000 $50,000 $100,000 In the Marketplace there also exists unavoidable trade-offs in applying VRLs of the constraint type categories where a higher VRL value is an indication of the relative priority for enforcing the VRL Yearly Analysis

7 7 constraint type. With the addition of the Spinning Reserve requirement of $200/MW, the SCED solution for the Day-Ahead and Real-Time interprets: Spinning Reserve Requirement is relaxed before an OC constraint An OC constraint is relaxed before a resource ramp constraint A resource ramp constraint is relaxed before the global power balance constraint The global power balance constraint is relaxed before a resource capacity constraint VRL Yearly Analysis

8 8 Analysis of OC Breach Characteristics in the Marketplace Block VRLs for OC were implemented on March 25, 2011 and carried forward in the design of the Integrated Marketplace. The previous year s VRL analysis ( ) provided data through June 2014 and this year s analysis focuses on the following periods; July 2013 February 2014 (Block VRL EIS since last VRL analysis) March 2014 June 2014 (Block VRL - Marketplace) July 2014 June 2014=5 (Block VRL - Marketplace) Tables 5, 6, and 7 represent the total Operating Constraint breach instances by the percentage the OC was beyond the OC limit. A breach instance is any time an operating constraint loading is above the constraint limit within the dispatch solution. Multiple OC VRL Instances per interval can occur if a VRL is applied to more than one constraint for that interval. Tables 8 & 9 show a summary of the constrained instances per period analyzed. OC Breach Instances (EIS) Apr 2011 Jun 2013 Jul 2013 Feb 2014 Count Avg/Month % Total Count Avg/Month % Total 1% or Less 5, % 3, % 1 2% 4, % 1, % 2 3% 1, % % 3 4% 1, % % 4 5% % % 5 6% % % 6 7% % % 7 8% % % 8 9% % % 9 10% % % 10 15% % % 15 20% % % 20% % % Total 15,773 7,215 Table 5 VRL Yearly Analysis

9 9 OC Breach Instances (Marketplace) Mar 2014 Jun 2014 Day-Ahead Real-Time Count Avg/Month % Total Count Avg/Month % Total 1% or Less % 3, % 1 2% % 1, % 2 3% % % 3 4% 0 0 0% % 4 5% 0 0 0% % 5 6% 0 0 0% % 6 7% 0 0 0% % 7 8% 0 0 0% % 8 9% 0 0 0% % 9 10% 0 0 0% % 10 15% 0 0 0% % 15 20% 0 0 0% % 20% % % Total 32 6,055 *Day-Ahead interval is hourly and Real-Time is 5-minute Table 6 VRL Yearly Analysis

10 10 OC Breach Instances (Marketplace) July 2014 June 2015 Day-Ahead Real-Time Count Avg/Month % Total Count Avg/Month % Total 1% or Less % % 1 2% % % 2 3% % % 3 4% 0 0 0% % 4 5% 0 0 0% % 5 6% 0 0 0% % 6 7% 0 0 0% % 7 8% 0 0 0% % 8 9% 0 0 0% % 9 10% 0 0 0% % 10 15% % % 15 20% 0 0 0% % 20% % % Total 68 16,553 *Day-Ahead interval is hourly and Real-Time is 5-minute Table 7 OC Breach Summary (Marketplace) Mar 2014 Jun 2014 Day-Ahead Real-Time Total Breach Instances 32 6,055 % Congested Instances 0.29% 11.6% Avg Shadow Price $ $ Avg Breach 1.0% 2.51% *Day-Ahead interval is hourly and Real-Time is 5-minute Table 8 VRL Yearly Analysis

11 VRL Yearly Analysis 11 OC Breach Summary (Marketplace) July 2014 June 2015 Day-Ahead Real-Time Total Breach Instances 67 17,262 % Congested Instances 0.15% 10.3% Avg Shadow Price $ $ Avg Breach 0.7% 2.76% *Day-Ahead interval is hourly and Real-Time is 5-minute Table 9

12 VRL Yearly Analysis 12 Figures 3, 4, 5 and 6 depict the same data represented in Tables 6 & 7 (OC Breach Instances (EIS & Marketplace)) for each of the time periods analyzed % Figure 3: OC Breach Instances (Day-Ahead Marketplace) March June % 25 70% OC Breach Instances % 6.3% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 60% 50% 40% 30% 20% 10% 0.0% 0.0% 0.0% 0% % Total Constraint Breaches OC Breach % Beyond Constraint Limit

13 OC Breach Instances VRL Yearly Analysis 13 % Total Constraint Breaches 4,000 Figure 4: OC Breach Instances (Real-Time Marketplace) March June % 3, % 60% 3,000 2,500 2,000 1,500 50% 40% 30% 1, % 20% % 4.4% 2.2% 2.0% 1.7% 1.2% 0.8% 0.5% 1.9% 10% 0 0.7% 1.6% 0% OC Breach % Beyond Constraint Limit

14 OC Binding Instances VRL Yearly Analysis 14 % Total Flowgate Breaches 60 Figure 5: OC Breach Instances Day-Ahead Marketplace July June % 82.1% 80% 50 70% 40 60% 50% 30 40% 20 30% 16.4% 20% 10 10% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 1.5% 0.0% 0.0% 0 1% or Less 1-2% 2-3% 3-4% 4-5% 5-6% 6-7% 7-8% 8-9% 9-10% 10-15%15-20% 20%+ OC Breach % Beyond Flowgate Limit 0%

15 OC Binding Instances VRL Yearly Analysis 15 % Total Flowgate Breaches Figure 6: OC Breach Instances Real Time Marketplace July June % % 50% % 40% 30% 20% % 4.9% 2.6% 1.8% 1.5% 1.1% 1.0% 0.8% 2.2% 1.1% 4.7% 10% 0 0% OC Breach % Beyond Flowgate Limit

16 16 Tables 9 & 10 show the number of binding intervals and shadow price range for the Marketplace. For Real-Time, a binding interval is defined as a 5-minute interval where the flow across the constraint exactly equals the limit of the constraint. Day-Ahead in the Marketplace is for a 1-hour interval. Price separation occurs and is reported because the algorithms look for the next lowest cost segment of the next available unit. The cost associated with the displacement of the initial marginal unit is the incremental cost to calculate a penalty free LMP. Tables 11 & 12 show the summary of binding instances for the Marketplace. OC Binding Instances (Marketplace) Day-Ahead Mar 2014 Jun 2014 Real-Time Count Avg/Month % Total Count Avg/Month % Total $0 - $100 8,861 2, % 21,131 5, % $100 - $200 1, % 9,698 2, % $200 - $ % 8,031 2, % $300 - $ % 4,621 1, % $ % 2, % Total 11,185 46,180 *Day-Ahead interval is hourly and Real-Time is 5-minute Table 9 OC Binding Instances (Marketplace) Day-Ahead July 2014 June 2015 Real-Time Count Avg/Month % Total Count Avg/Month % Total $0 - $ % % $100 - $ % % $200 - $ % % $300 - $ % % $ % % Total ,639 *Day-Ahead interval is hourly and Real-Time is 5-minute Table 10 VRL Yearly Analysis

17 17 OC Binding Summary (Marketplace) Mar 2014 Jun 2014 Day-Ahead Real-Time Total Binding Instances 11,185 46,180 Avg Shadow Price $59.66 $ *Day-Ahead interval is hourly and Real-Time is 5-minute Table 11 OC Binding Summary (Marketplace) July 2014 June 2015 Day-Ahead Real-Time Total Binding Instances 43, ,639 Avg Shadow Price $34.44 $91.34 *Day-Ahead interval is hourly and Real-Time is 5-minute Table 12 VRL Yearly Analysis

18 Total OC Binding Instances by Shadow Price VRL Yearly Analysis 18 % Total OC Binding Instances by SP Figures 9, 10, 11, and 12 depict the same data represented in Tables 9 & 10 (OC Binding Instances) for each of the time periods analyzed. Figure 9: Total OC Binding Instances by Shadow Price (Day-Ahead) 10,000 90% 9, % 80% 8,000 70% 7,000 6,000 5,000 4,000 3,000 60% 50% 40% 30% 2,000 1, % 6.4% 1.8% 0.3% $0 - $100 $100 - $200 $200 - $300 $300 - $400 $ % 10% 0%

19 Total OC Binding Instances by Shadow Price VRL Yearly Analysis 19 % Total OC Binding Instances by SP Figure 10: Total OC Binding Instances by Shadow Price (Real-Time) 25,000 50% 45.8% 45% 20,000 40% 35% 15,000 30% 21.0% 25% 10, % 20% 5, % 5.8% 15% 10% 5% 0 $0 - $100 $100 - $200 $200 - $300 $300 - $400 $400+ 0%

20 Total OC Binding Instances by Shadow Price VRL Yearly Analysis 20 % Total OC Binding Instances by SP Figure 11: Total OC Binding Instances by Shadow Price (Day-Ahead) % % 90% % % 60% 50% 40% 30% % 1.7% 0.5% 0.1% $0 - $100 $100 - $200 $200 - $300 $300 - $400 $ % 10% 0%

21 Total OC Binding Instances by Shadow Price % Total OC Binding Instances by SP Figure 12: Total OC Binding Instances by Shadow Price (Real-Time) % % 70% 60% % % % 30% 20% % 4.2% 2.8% 10% 0 $0 - $100 $100 - $200 $200 - $300 $300 - $400 $400+ 0% VRL Yearly Analysis 1

22 VRL Yearly Analysis 2