Price indeterminacy in day-ahead market

Transcription

1 Price indeterminacy in day-aead market Mid-Price rule A "price indeterminacy" is a situation in wic at least two feasible solutions wit te same matced volume, te same block and MIC selections and te same welfare, exist but wic only differ by teir market price. In tis case, all tese solutions ave an identical welfare, and it is necessary to define a rule to coose between te set of valid prices. In case of non-unique price solution, for a given our, te mid-point rule will apply, defined as te minimal square distance between MCP and te distance to its midpoint. In case of several indeterminacies, te sum of tese distances is considered. Te mid-point price expression can be formulated wit te following function: min MCP UB LB Being: LB : te lowest possible price in te market m on our for a defined net position Q*. UB : te igest possible price in te market m on our for a defined net position Q*. MCP : te (unrounded) Market Clearing Price of te market m on our. Te mid-point of te intersection defined by [LB, UB ] is equal to (UB +LB )/. Subject to te following constraints: All market and network constraints NO_PAB constraints PUN imbalance constraints if applicable B_ACCEPTo = 1 if te block order o is executed in te feasible solution = 0 oterwise B_ACCEPTMIC = 1 if te complex order MIC is executed in te feasible solution = 0 oterwise NOTE: Te following rule is applied only in te case on wic a lower bound and an upper bound exist for every bidding area involved in indeterminacy problem Mid price rule in one isolated bidding area

2 Given a certain bidding area 1, let s consider te following situation: /MW 5 51,5 BID BID 51 50, ,5 50,01 49, , MW 850 Every price between te interval [50,01;49,70] returns a feasible solution wit te same welfare. By applying mid-price rule:.,, Marginal clearing price for bidding area 1 is 49,855 /MW Mid price rule in te case more bidding areas are involved Case 1: SESSION_ID PERIOD ORDER_ID TYPE BIDDINGAREA_ID MO QO PO SUPPLY DEMAND SUPPLY SUPPLY DEMAND Let s consider bidding areas (1 and ), connected wit unlimited ATC. As sown in te grap of wic below, a price indeterminacy exist in te interval [30,00; 50,00 ]

3 BID By Applying mid-price rule: Te clearing price is: 4X=150 X=37,5 /MW Case : 14,00 60,00 30,00 50,00 SESSION_ID PERIOD ORDER_ID TYPE BIDDINGAREA_ID MO QO PO DEMAND SUPPLY DEMAND SUPPLY SUPPLY Let s consider bidding areas (1 and ), connected wit unlimited ATC. As sown in te grap of wic below, a price indeterminacy exist in te interval [30,00; 55,00 ] 500 /MW BID 0 MW

4 By Applying mid-price rule: From wic: 4X=595 X=148,75 /MW Since 148,75 > 55 (upper bound of clearing price interval), price is lowered until upper bound of clearing price interval: 55 /MW Price indeterminacy An exception Above described rule is not applied wen, in te bidding area were price indeterminacy appens, it s not present an upper bound or a lower bound. For example: As sown in te picture, for bidding area 1: Tere s an upper bound (400 /MW) Tere is no lower bound In a case like tis: 1. te algoritm considers te interval between minimum teoretical price and maximum one: [-500;+400] 1 ;. Since bidding area 1 imports 100 MW from bidding area, minimum acceptable price cannot be -500, but it sould be equal to bidding area clearing price (7 /MW); 3. te algoritm cooses between minimum teoretical price (-500 /MW) and maximum one (400 /MW) randomly; 4. In te case on wic CPLEX cooses maximum price (400 /MW), solution is valid; 1 Note: Even if minimum offer price for GME s bidding area is 0 /MW, minimum clearing price could is set to 500 /MW

5 5. In te case on wic CPLEX cooses minimum teoretical price (-500 /MW), solution is not valid (-500 < 7 ). Consequently CPELX starts a series of iteration to set bidding area 1 price equal to bidding area price (7 /MW). Similarly, given two bidding areas and a set of OBKs as te following one: SESSION_ID PERIOD ORDER_ID MO BIDDINGAREA_ID TYPE QO PO SUPPLY 60 0, SUPPLY DEMAND DEMAND 5 55 In tis case: Upper bound in bidding area 1 is missing Lower bound in bidding area is missing Mid price rule is not applied and price is set randomly equal to 55 or 50.