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Summary

This page describes the optimisation process and how Trader Parameters are used to allocate MW 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.

There are four trader parameters for each FCAS and one for each energy service.

Optimisation Process

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The Autobidder Solver determines

Optimisation Process

The core optimisation process does not distinguish between energy and the eight FCAS however the Bid Formulation process for Energy is quite different compared with FCAS.

Energy bids are formulated by adjusting volume within the latest manual energy bid, FCAS bids are formulated from scratch.

The workflow below shows the key inputs and outputs of the 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 output “Optimal Volume (OV)” to be dispatched.

DV that is not dispatched (and therefore the Solver has determined that it is not optimal to do so) is termed the Non Optimal Volume (NOV). Therefore NOV = DV - OV.

The Solver also produces a “Break Even RRP (BERRP)” which approximates the price 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.

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.

The FCAS bid formulation diagramme below shows the user inputs [Bid MaxAvail Volume (MAV) and Trader Limit Volume (TLV)] and the derivation of the volume inputs required to formulate a bid.

TLV is an optional Trader input, the purpose of which is to limit DV. For example the MAV for L60 is often 136MW however if the Trader wishes to constrain the OV to less than this amount, say 30MW, then a TLV of 30MW for L60 can be applied. The DV is then the minimum of MAV and TLV. If MAV is greater than DV then the difference is the Non Discretionary Volume (NDV). The NDV is not an input into vAdvisor however this volume also needs to be allocated into PBs.

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Trader Parameters

There are four trader parameters for each FCAS;

• Trader Price 1, 2 and 3 (TP1, TP2 and TP3), and

• Trader Limit Volume (TLV).

And one for each energy service;

• Trader delta Limit Volume (TdelLV).

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FCAS Bid Formulation

The difference between the DV input of the solver and the OV output of the solver is the Non Optimal Volume (NOV). Therefore

NOV = DV - OV.

The Derivation of inputs for FCAS bid formulation diagramme below shows the user inputs, Bid MaxAvail Volume (MAV) and Trader Limit Volume (TLV).

TLV is a Trader Parameter, the purpose of which is to limit DV. Therefore,

DV = Min(MAV, TLV)

For example the MAV for L60 is often 136MW however if the Trader wishes to constrain the DV (and thereby the potential OV) to less than this amount, say 30MW, then a TLV of 30MW for L60 can be applied. The DV is then the minimum of MAV and TLV. If MAV is greater than DV then the difference is the Non Discretionary Volume (NDV). Therefore

NDV = max(0, MAV-DV).

The NDV is not an input into vAdvisor.

The following workflow is specific to FCAS and is a more detailed version of the general ‘optimisation process’ shown above.

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Once OV, NOV and NDV have been derived, a coherent bid 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 where the OV would be expected to be dispatched and where the NOV and NDV would not be expected to be dispatched, at least under normal market conditions.

For example, if the FRRP is $20 then OV may be allocated in any PBs less than $20 and NOV and NDV may be allocated in any PBs greater than $20. Note that if price forecasts are 100% accurate then it doesn’t matter how OV, NOV and NDV are allocated, as long as OV and NOV/NDV are allocated in PBs less than, and greater than FRRP respectively.

However FRRPs differ from actual price outcomes and therefore allocating OV, NOV and NDV is important since it can impact actual revenue and can also impact longer term market dynamics. Therefore volume allocation rules must be defined to formulate a bid. A simple example of an allocation rule is to allocated OV to PB1 and NOV to PB10. This allocation rule is strictly a pricetaker strategy where you are indifferent to variations in actual prices compared to forecast prices.

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FCAS volume allocation process

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Glossary

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