Joint Bidding Strategy in Day-Ahead Electricity Market and FTR Auction Market
Transmission congestion can lead to price separation at different buses in electricity markets. This may cause differences between the payment to the generation companies and the revenues collected from the loads, called merchandise surplus or congestion charge or congestion revenue. Through the Financial Transmission Right (FTR) auction, the Independent System Operator (ISO) redistributes the merchandise surplus to market participants (MPs). Although the FTR auction is conducted at a different time than the Day-ahead (DA) market, the two markets are related because the MP's FTR position will be settled based on the DA market prices. For this reason, MPs may intend to develop a joint bidding strategy for FTR and DA markets in order to maximize its total profit in the two markets. This paper therefore proposes a bi-level optimization model in which the upper-level sub-problem formulates the profit maximization problem for a strategic generation company, and the lower-level sub-problem mimics a quasi ISO model. In this work, the strategic MP is considered to be price-taker in the FTR market and price-maker in the DA market, which allows the MP to influence the DA market price to benefit its combined portfolio value in two markets. To demonstrate the performance of the proposed model, it has been studied on a 6-bus test system. The results show that an optimal bidding strategy may choose to have a reduced profit in the DA market, while making a significantly higher profit in the FTR market so that the total profit is maximized.
H. Mehdipourpicha et al., "Joint Bidding Strategy in Day-Ahead Electricity Market and FTR Auction Market," Proceedings of the Asia-Pacific Power and Energy Engineering Conference, APPEEC, pp. 1-5, Institute of Electrical and Electronics Engineers (IEEE), Oct 2020.
The definitive version is available at https://doi.org/10.1109/APPEEC48164.2020.9220458
12th IEEE PES Asia-Pacific Power and Energy Engineering Conference, APPEEC 2020
Electrical and Computer Engineering
Keywords and Phrases
Bi-Level Optimization; Energy Market; FTR Auction; Joint Bidding Strategy
International Standard Book Number (ISBN)
International Standard Serial Number (ISSN)
Article - Conference proceedings
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13 Oct 2020