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Summary
This page describes how Trader Parameters are used to allocate volume to Pricebands within each bid. Trader Parameters are not mandatory. Some are applied to limit the volume of a service that is likely to be enabled during normal market conditions whereas others allow for greater volume to be enabled under high prices and then others limit enablement when prices are expected to be very low. In effect the Trader Parameters help imitate bid structure that otherwise is typical of manual bids.
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| Info |
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Learn how to edit a Trader Parameter in Trader Parameter Page |
Optimisation Process
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The Autobidder Solver determines the optimal mix of service volumes to be dispatched for any set of price forecasts; subject to unit and market constraints. The two key inputs into the Solver are the “Forecast RRPs (FRRP)” and available volume or volume range of each service. This volume is termed “Discretionary Volume (DV)” since it is the range of volume that the Solver has the discretion to calculate the “Optimal Volume (OV)” to be dispatched.
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The Solver also produces a “Break Even RRP (BERRP)” which approximates the price at which the dispatch of the service is marginal. The BERRP is used to allocate volume to PriceBands (PB) in a bid.
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Derivation of inputs for FCAS bid formulation
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Once the Solver has determined the OV and NOV a coherent bid then needs to be formulated. However there are many degrees of freedom when assigning these volumes in a bid because there are a number of PBs that volume may be allocated so that OV is expected to be dispatched and NOV is not expected to be dispatched. Therefore allocation rules for volume must be defined to formulate a bid. A simple example of an allocation rule is to allocated OV to PB1 and NOV to PB10. Note that if price forecasts are 100% accurate then the OV only needs to be allocated to PBs with values less than the FRRP and NOV allocated to PBs greater than FRRP. However FRRPs differ from actual price outcomes and therefore allocating OV and NOV is important since it can impact the realised value and can also impact longer term market dynamics.
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Note that the glossary at the end of this page defines the terms in these workflows.
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FCAS bid formulation process
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The three volumes; OV, NOV and NDV all need to be allocated to PBs in a bid. Note that,
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Examples of these allocations are provided in the excel spreadsheet, Bid Formulation Examples.xls.
Optimal Volume (OV) Allocation
OV is allocated in PBs between the BERRP and FRRP. Note that by definition BERRP < FRRP for OV. If TP1 is not null then OV is allocated in PBs between BERRP and the maximum of FRRP and TP1. The purpose of TP1 is to prevent all of the OV being inserted into very low PBs in the event that FRRP is small (which is often the case for Lower contingency services). BERRP is often zero (or approaching zero), particularly for lower contingency services.
Non Optimal Volume (NOV) Allocation
NOV is allocated in PBs between the BERRP and TP1. If TP1 is less than BERRP, or if TP1 is null, then NOV is all allocated in the first PB > BERRP.
Non Discretionary Volume (NDV) Allocation
Under normal market conditions NDV is volume that is not intended to be dispatched. The main reason for this is to avoid oversupplying the market. However if demand, and therefore price, is high enough then it is worthwhile providing additional volume. A “high enough price” is defined as Trader Price 2 (TP2).
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Note that it is possible for the allocation conditions to result in no available PBs. For example if BERRP is greater than both TP2 and TP3. In this case all NDV is allocated to PB10.
Aggregate of Volume Allocation
The three sets of allocated volume (OV, NOV and NDV) are then aggregated into a single bid. This is the final optimised bid ready to be submitted.
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Energy bid formulation limits
Unlike FCAS bids, traders will continue to manually submit energy bids to optimise the value of Alinta’s energy portfolio. The last manually submitted bid is termed the reference bid. The Solver may adjust the reference bid by a limited amount [Trader delta Limited Volume (TdelLV)] which is determined by the trader. The following constraints apply:
A volume up to TdelLV may be repriced in the reference bid.
The current expected energy target is termed Current Volume (CV) and is defined from the reference bid as the sum of PB(1,n) where PBn <= FRRP.
The DV will have a minimum and maximum value, minDV and maxDV.
The Solver will apply the energy constraints, minDV <= OV <= maxDV and solve for OV. OV minus CV is defined as the delta Optimal Volume (delOV).
The Solver may only reprice delOV to lower PBs for the purpose of increasing lower FCAS enablement.
The Solver may only reprice delOV to higher PBs for the purpose of increasing raise FCAS enablement.
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Repricing Energy for Lower FCAS optimisation
The Lower FCAS Availability diagramme shows the circumstance where the limit in point 5 above applies. Therefore,
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delOV is moved from the first PB where sufficient volume is available. I.e. from PBx, PBx+1,…etc. to PBy, where PBx => FRRP and PBy < min(FRRP, BERRP).
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Repricing Energy for Raise FCAS optimisation
The Raise FCAS Availability diagramme shows the circumstance where the limit in point 6 above applies. Therefore,
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delOV is moved from the first PB where sufficient volume is available. I.e. from PBx, PBx-1,…etc. to PBy, where PBx <= FRRP and PBy > max(FRRP, BERRP).
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Energy DV Calculations Workflow
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The workflow on the right shows the inputs, calculations and conditions used to derive the minDV and maxDV as described above.
Note that when MaxLowBP < CV < MinHighBP then minDV = CV = maxDV. In other words the Solver is prevented from repricing energy volume because increasing or decreasing energy volume will not increase the potential enablement of either raise or lower FCAS.
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Energy bid formulation process
The workflow to the right shows the outputs of the Solver where energy is repriced depending on whether delOV is positive or negative.
Note that volume is taken from the first PB(s) that meets the condition of PBx >= FRRP if delOV > 0 (or conversely volume is taken from the first PB(s) that meets the condition PBx <= FRRP if delOV < 0) .
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Suggested Trader Parameters
The following inputs would achieve comparable bid patterns as described and provided by Alinta.
Input | Acronym | L5m | L60s | L6s | Lreg | R5m | R60s | R6s | Rreg | ENERGY |
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MaxCapacity (as bid) | MAV | 80 | 136 | 14 | 75 | 81 | 131 | 13 | 75 | 550/600 |
Trader Limit Volume and Trader delta Limit Volume (MW) | TLV and TdelLV | 40 | 40 | null | 35 | 35 | 60 | null | 35 | 20 |
TraderPrice1 ($/MW) | TP1 | 0.4 | 0.5 | null | 6 | 0.5 | 0.9 | null | 7 | n/a |
TraderPrice2 ($/MW) | TP2 | 5 | 5 | null | 18 | 5 | 10 | null | 20 | n/a |
TraderPrice3 ($/MW) | TP3 | 12000 | 12000 | null | 12000 | 12000 | 12000 | null | 12000 | n/a |
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Glossary
Term | Acronym | |
|---|---|---|
Bid MaxAvail Volume: | MAV | is the maxavail as bid for each FCAS. Note that the word Volume has been appended to the definition for consistency with other volume definitions. |
BreakEvenRRP | BERRP | a calculated RRP where the service is marginal based on FRRP of other services. Note that the BERRP may be greater or less than FRRP. |
CurrentVolume | CV | is the expected energy target based on the reference bid and FRRP. This is required since Energy optimisation is limited by the reference bid. |
DiscretionaryVolume | DV | = Min(MAV, LV) for each FCAS This variable is an input into the Solver |
ForecastRRP | FRRP | is the forecast RRP of the service. Initially this will be the latest p5min forecast. |
Minimum Discretionary Volume | minDV | is the minimum energy volume that the Solver may determine as optimal. |
Maximum Discretionary Volume | maxDV | is the maximum energy volume that the Solver may determine as optimal. |
NonDiscretionaryVolume | NDV | = MAV - DV Note that this variable is not an input into the Solver. |
NonOptimalVolume | NOV | = DV - OV |
OptimalVolume | OV | is an output of the Solver and is the optimal volume of each FCAS to be dispatched. |
ReferenceBid | the last manual energy bid submitted to AEMO for a given day. | |
Trader Delta Limit Volume | TdelLV | is a user inserted value that limits the volume that may be repriced from an energy reference bid. |
Trader Limit Volume | TLV | is a user inserted value that aims to limit the Discretionary Volume consumed by the Solver for each FCAS. |
TraderPrice1 | TP1 | is an optional user inserted value that limits the minimum price of a Priceband when applied to the allocation of OV. |
TraderPrice2 | TP2 | is an optional user inserted value that limits the minimum price of a Priceband when applied to the allocation of NDV. |
TraderPrice3 | TP3 | is an optional user inserted value that limits the maximum price when applied to allocation of NDV. Generally this is used to avoid allocating volume to PB10. |
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Setting Priceband values
There is an optimum price for each service however we only have 10 to choose from. Suggest reporting and benchmarking will provide guidance.
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Plant Costs
Initially a single value will be used for fuel cost, that is to say the input into the algorithm will be a constant.
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