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.

Meeting Name

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)

2157-4839; 2157-4847

Document Type

Article - Conference proceedings

Document Version


File Type





© 2020 Institute of Electrical and Electronics Engineers (IEEE), All rights reserved.

Publication Date

13 Oct 2020