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.

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

Optimisation Process

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.

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 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

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.

Note that the glossary at the end of this page defines the terms in these workflows.

FCAS volume allocation process

The three volumes; OV, NOV and NDV all need to be allocated to PBs in a bid. Note that,

OV + NOV + NDV = MAV

The workflow above shows the inputs and the logic to allocate each of these three volumes to a bid. The workflow also shows an additional three optional inputs to the bid formulation called Trader Prices (TP1, TP2 and TP3).

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).

If you wish to avoid allocating NDV into very high pricebands then you may insert Trader Price 3 (TP3) which ensures NDV is allocated in PBs less than TP3. TP3 is generally used to prevent NDV being inserted into PB10.

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.

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:

1. A volume up to TdelLV may be repriced in the reference bid.

2. 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 PB_n <= FRRP.

3. The DV will have a minimum and maximum value, minDV and maxDV.

4. 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).

5. The Solver may only reprice delOV to lower PBs for the purpose of increasing lower FCAS enablement.

6. The Solver may only reprice delOV to higher PBs for the purpose of increasing raise FCAS enablement.

Repricing Energy for Lower FCAS optimisation

The Lower FCAS Availability diagramme shows the circumstance where the limit in point 5 above applies. Therefore,

minDV = CV , and

maxDV = min[CV + TdelLV, MaximumImpliedLowBreakPoint(MaxLowBP)],

where MaxLowBP = max[( EnablementMin + DV ) of all lower FCAS].

delOV is moved from the first PB where sufficient volume is available. I.e. from PB_x, PB_x+1,…etc. to PB_y, where PB_x => FRRP and PB_y < min(FRRP, BERRP).

Repricing Energy for Raise FCAS optimisation

The Raise FCAS Availability diagramme shows the circumstance where the limit in point 6 above applies. Therefore,

maxDV = CV , and

minDV = max[(CV - TdelLV, MinimumImpliedHighBreakPoint(MinHighBP)],

where MinHighBP = min[( EnablementMax - DV ) of all lower FCAS].

delOV is moved from the first PB where sufficient volume is available. I.e. from PB_x, PB_x-1,…etc. to PB_y, where PB_x <= FRRP and PB_y > max(FRRP, BERRP).

Energy DV Calculations and Volume Allocation Workflow

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.

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 PB_x >= FRRP if delOV > 0 (or conversely volume is taken from the first PB(s) that meets the condition PB_x <= FRRP if delOV < 0) .

Suggested Trader Parameters

The following inputs would achieve comparable bid patterns as described and provided by Alinta.

Glossary

Setting Priceband values

Currently the sophistication of the algorithms is far from being able to suggest optimal priceband values. Traders will continue to select priceband values however benchmarking is expected to provide some guidance.

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.

However the constant could then be calculated from current generation. Similarly dynamic costs could be a cost applied after optimal solution and volume could be adjusted.