Stochastic Multistage Bidding Optimisation in an Intraday Market with Limited Liquidity

Abstract

This paper describes a multistage stochastic mixed integer programming problem for a hydro power producer that maximizes profit in the low liquid intraday market and balancing market. A comprehensive modelling framework with an internal rolling horizon is presented and the continuous intraday market is modelled using stochastic residual demand curves.

Intraday power trading: toward an arms race in weather forecasting?

“…Sánchez de la Nieta et al (2020) use several updated weather forecasts for bidding on the Spanish day-ahead market, intraday auctions, and imbalance market. Engmark et al (2018) propose a trading strategy for a hydro power producer on the day-ahead, intraday and balancing market. Dideriksen et al (2019) consider trading strategies for a hydropower producer on the intraday market.…”

“…We take great care to accurately model market mechanisms, the exact clearing algorithm, and the sequence of information. To the best of our knowledge Skajaa et al (2015); Martin and Otterson (2018); Engmark et al (2018); Bertrand and Papavasiliou (2019); Kuppelwieser and Wozabal (2020); Dideriksen et al (2019) are the only other papers that capture the realities of continuous trading in similar detail. In particular, apart from Skajaa et al (2015); Engmark et al (2018); Bertrand and Papavasiliou (2019); Dideriksen et al (2019);Koch (2021), this is the first paper that evaluates a trading strategy based on detailed order book data, which is different from the extant literature that discretizes the trading to 1 min or 15 min brackets to be able to deal with the shear amount of order data (e.g., Glas et al 2019Glas et al , 2020Kath and Ziel 2020).…”

Internal hydro- and wind portfolio optimisation in real-time market operations

“…Hydropower producers have been able to choose whether to clear imbalances and trade available volumes in the intraday or balancing market, and as such pricing signals to the two markets have been equal since any arbitrage between the markets would have been captured by market actors. Interactions and trade-offs between participation in the two markets have been investigated in [15].…”