day ahead markets a thesis submitted to the graduate school of natural and applied sciences of ...

215 Pages·2013·3.62 MB·English

DAY AHEAD MARKETS

A THESIS SUBMITTED TO
THE GRADUATE SCHOOL OF NATURAL AND APPLIED SCIENCES
OF
MIDDLE EAST TECHNICAL UNIVERSITY

BY

KAAN KÜTARUK

IN PARTIAL FULFILLMENT OF THE REQUIREMENTS
FOR
THE DEGREE OF MASTER OF SCIENCE
IN
ELECTRICAL AND ELECTRONICS ENGINEERING

SEPTEMBER 2013

Approval of the thesis:

DAY AHEAD MARKETS

submitted by KAAN KÜTARUK in partial fulfillment of the requirements for the degree of
Master of Science in Electrical and Electronics Engineering Department, Middle East
Technical University by,

Prof. Dr. Canan Özgen
Dean, Graduate School of Natural and Applied Sciences

Prof. Dr. Gönül Turhan Sayan
Head of Department, Electrical and Electronics Engineering

Prof. Dr. Osman Sevaioğlu
Supervisor, Electrical and Electronics Engineering Dept., METU

Examining Committee Members:

Prof. Dr. Mirzahan Hızal
Electrical and Electronics Engineering Dept., METU

Prof. Dr. Osman Sevaioğlu
Electrical and Electronics Engineering Dept., METU

Prof. Dr. İsmet Erkmen
Electrical and Electronics Engineering Dept., METU

Prof. Dr. Cengiz Taplamacıoğlu
Vice Rector, UTAA

M.Sc. Abdülkadir Ongun
Security of Supply Dept., MENR

Date: 16.09.2013
I hereby declare that all information in this document has been obtained and presented
in accordance with academic rules and ethical conduct. I also declare that, as required
by these rules and conduct, I have fully cited and referenced all material and results
that are not original to this work.

Name, Last name : Kaan KÜTARUK

Signature :

ABSTRACT

ii i
DAY AHEAD MARKETS

Kütaruk, Kaan
M. Sc., Department of Electrical and Electronics Engineering
Supervisor: Prof. Dr. Osman Sevaioğlu

September 2013, 199 pages

Day Ahead Market is a mechanism in electricity markets for adjusting the supply-demand
energy and capacity balance by providing bids one day before the clearing.

Market operator needs to know the available energy and capacity for reaching minimal-cost
supply-demand balance one day earlier than the market has been cleared. Minimizing cost of
the electricity and capacity during 24 hours of a day requires accurate information
concerning the available electricity and capacity.

Day-ahead marketing activity is performed so as to reach financial certainty which can
remove the risk of incurring high operational and startup prices. For Day Ahead marketing,
the trading activity has to be performed one day earlier for the delivery of electricity the next
day.

Bilateral markets, exchanges and pools are the architectures which employ the Day Ahead
Market Model. Each of these architectures or combination can provide financial hedging and
unit commitment. The most suitable architecture is chosen by concerns over lack of private
markets and nonprofit system operators in performing the coordination functions related with
unit commitment. Thus, some theories of market try to explain the structure for evaluating
the combinations of different designs.

The study will include the development of a mathematical model for Day Ahead Market
Architecture and a computer program that will simulate the developed model on the Turkish
Electricity Market.

Keywords: Day Ahead Market, Market Operator, Supply Demand Balance, Bilateral
Markets

iv
ÖZ

GÜN ÖNCESİ PİYASALARI

Kütaruk, Kaan
Yüksek Lisans, Elektrik ve Elektronik Mühendisliği Bölümü
Tez Yöneticisi: Prof. Dr. Osman Sevaioğlu

Eylül 2013, 199 sayfa

Gün Öncesi Piyasası, elektrik piyasalarında arz-talep ve kapasite enerji dengesini sağlamak
için enerji transferi tekliflerinin ve ticaretinin bir gün öncesinden yapıldığı bir sistemdir.

Piyasa operatörünün en düşük maliyetli arz talep dengesini enerji transferinden bir gün önce
yapılabilmesi için kullanılabilir enerji ve kapasiteyi bilmesi gereklidir. 24 saat önceden en
düşük maliyetli elektrik ve kapasiteyi elde edebilmek için kullanılabilir elektrik ve
kapasitenin doğru olarak bilinmesi gereklidir.

Gün Öncesi Piyasasının amacı finansal kararlılığı sağlayarak yüksek çalışma ve başlangıç
fiyatlarını engellemektir. Gün Öncesi Piyasası’nda elektrik ticareti, elektrik transferinden bir
gün önce gerçekleştirilir.

İkili anlaşmalar, değişimler ve havuz Gün Öncesi Piyasası’nda yer alan piyasa mimarileridir.
Bu modellerden her biri veya birkaçının birleşimi sayesinde ekonomik korunma ve
taahhütler gerçekleştirilmiş olur. En uygun piyasa modeli kar amacı gütmeyen sistem
operatörü tarafından seçilir ve koordine edilir. Bu yüzden birçok piyasa teorisi çeşitli piyasa
modeli birleşimlerinin yapısını değerlendirmeye çalışır.

Bu çalışmada Gün Öncesi Piyasalarının mimarileri matematiksel olarak çalışılacak ve
bilgisayar programı aracılığı ile Türkiye’de uygulanan elektrik marketi modellenecektir.

Anahtar Kelimeler: Gün Öncesi Piyasası, Piyasa Operatörü, Arz Talep Dengesi, İkili
Anlaşmalar

v
To My Family, with love and gratitude

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ACKNOWLEDGEMENTS

I would like to express my sincere thanks and gratitude to my supervisor Prof. Dr. Osman
Sevaioğlu for his complete guidance, advice and criticism throughout this thesis.
I am also thankful to all lecturers at the Department of Electrical and Electronics
Engineering, who helped me to acquire the basic knowledge onto which I have built my
thesis.
I would like to express my appreciation to ASELSAN Inc. for providing me a peaceful
working environment and my colleagues in ASELSAN Inc. for their support.
I also would like to thank Mr. Abdülkadir Ongun for his valuable ideas and help throughout
this study.
Finally, I would like to express my special thanks to my family for their permanent support
and sincere love.

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TABLE OF CONTENTS

ABSTRACT ........................................................................................................................... iii
ÖZ……………………………………………………………………………………………..v
ACKNOWLEDGMENTS………………………………………………………………… vii
TABLE OF CONTENTS.. ................................................................................................... viii
LIST OF TABLES…………………………………………………………………………...xi
LIST OF FIGURES…………………………………………………………………………xii

CHAPTERS
1 INTRODUCTION……………………………………………………………………1

2 GENERAL OVERVIEW OF THE ELECTRICITY MARKET STRUCTURES ..... 3
2.1 Introduction ................................................................................................... 3
2.2 Single Seller Model ...................................................................................... 5
2.3 Single Buyer Model ...................................................................................... 7
2.4 Multiple Seller Multiple Buyer Model ......................................................... 9
2.4.1 Pool Model ..................................................................................... 10
2.4.2 Bilateral Contract Model ................................................................ 12
2.4.3 Balancing and Settlement Problem of Bilateral Contract……………
Model……………………………………………………………....14
2.4.3.1 Day Ahead Markets………………………………………15
2.4.3.2 Real Time Markets…………………………............... ... 15

3 COST MODELLING, MARGINAL COST, SHORT TERM DEMAND
FORECAST………………………………………………………… …………………….17
3.1 Cost Modeling ...................................................................................... ….17
3.1.1 Data Sources ........................................................................... …....18
3.1.1.1 Timing………………………………… ………… ……18
3.1.1.2 Technical Data………………………… ……………… 19
3.1.1.3 Capital Costs………………………… ………………... 19
3.1.1.4 Operating Costs……………………… ………………….20
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3.1.2 Cost Curves……………………………………………… ……...20
3.1.2.1 Short Run………………………………………… ……21
3.1.2.2 Long Run………………………………………… … …22
3.1.2.2.1 Short Run - Long Run Cost
Relationship…………………………. ..................................................................... 23
3.2 Marginal Cost .............................................................................................. 24
3.2.1 Marginal Cost and Average Cost Relationship ............................... 28
3.3 Short Term Load Forecasting ...................................................................... 29
3.3.1 Factors Affecting Short Term Load Forecasting ............................ 30
3.3.2 Artificial Neural Network ............................................................... 31

4 DAY AHEAD MARKETS AND MODELS…………………… ……… ……….37
4.1 Structure of Day Ahead Markets ................................................................. 37
4.1 38
4.2 Aim of Day Ahead Markets ........................................................................ 38
4.3 Sides of Day Ahead Markets ....................................................................... 41
4.4 Supply-Demand Balance ............................................................................. 43
4.5 Models of Day Ahead Markets in the World .............................................. 48
4.5.1 Auction Trading .............................................................................. 48
4.5.1.1 Uniform Price Model (Market Clearing Price)… …… 49
4.5.1.2 Pay As Bid……………………………………… ……..50
4.5.1.3 Comparison between Uniform Price Auction vs. Pay As Bid
Auction…………………………………………………………………………… ……51
4.5.2 Continuous Trading ........................................................................ 51
4.6 Mechanism of Day Ahead Markets ............................................................. 53
4.6.1 Process of Day Ahead Market ........................................................ 54
4.6.2 Bids of Day Ahead Markets ............................................................ 56
4.6.3 Market Operator .............................................................................. 61
4.6.4 System Operator ............................................................................. 62
4.6.5 Crimes and Sanctions in Day Ahead Markets ................................ 63
4.7 Day Ahead Market and Real Time Markets Comparisons .......................... 64
4.8 Hardware and Software Infrastructures of Day Ahead Markets ................. 66

5 DAY AHEAD MARKETS IN TURKEY………………………………… …..71
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