Download - VRL Analysis - spp.org
VRL Analys i s
Posting Date: 08/01/2015 Gentry Crowson, Market Forensics
Southwest Power Pool, Inc.
VRL Yearly Analysis
2
Contents
Executive Summary .............................................................................................................................. 3
Background ........................................................................................................................................... 6
Analysis of OC Breach Characteristics in the Marketplace................................................................... 8
Southwest Power Pool, Inc.
VRL Yearly Analysis
3
Executive Summary
This report analyzes the occurrences and trends of Violation Relaxation Limits (VRL) and their impact
to economics and reliability. The 2013-14 VRL analysis focused on the July 2013 through February
2014 time period for the EIS market used historical data from prior reports for comparisons and the
March 2014 through June 2014 period for the Integrated Marketplace. This report will focus on July
2014 – June 2015 time period for the Integrated Marketplace.
The Integrated Marketplace utilizes Violation Relaxation Limits (VRLs) to assist in quickly arriving at
the best possible dispatch solution. When it is infeasible to simultaneously enforce all of the defined
constraints at a Shadow Price less than the predefined VRL, SPP applies the VRL in the solution. The
Integrated Marketplace VRL categories are;
Violation Relaxation Limit Categories Integrated Marketplace
Spinning Reserve requirement
Operating Constraint (OC)
Resource Ramp Constraint
Global Power Balance Constraint
Resource Capacity Constraint
Table 1
Tables 2&3 provide a summary of VRL instances for the Integrated Marketplace for the analysis
periods along with a comparison to historical values. An instance is any occurrence of a VRL,
therefore, OC constraints could result in multiple instances per interval if VRL is applied to more than
one constraint. There were no resource capacity or global power balance constraint occurrences for the
time periods analyzed and a few resource ramp constraint instances which all are shown in Tables
2&3.
Southwest Power Pool, Inc.
VRL Yearly Analysis
4
VRL Instances Summary (Marketplace) Mar 2014 – Jun 2014
Day-Ahead Real-Time
Total Avg/Month Total Avg/Month
Spinning Reserve 0 0 342 85.5
Operating Constraint 32 8 6,055 1,513
Resource Ramp
Constraint 0 0 35 8.8
Global Power Balance
Constraint 0 0 0 0
Resource Capacity
Constraint 0 0 0 0
*Day-Ahead interval is hourly and Real-Time is 5-minute
Table 2
VRL Instances Summary (Marketplace) July 2014 – Jun 2014
Day-Ahead Real-Time
Total Avg/Month Total Avg/Month
Spinning Reserve 0 0 392 32.7
Operating Constraint 4,968 496 18,507 1,542
Resource Ramp
Constraint 0 0
31 2.6
Global Power Balance
Constraint 0 0 0 0
Resource Capacity
Constraint 0 0 0 0
*Day-Ahead interval is hourly and Real-Time is 5-minute
Table 3
Southwest Power Pool, Inc.
VRL Yearly Analysis
5
Block VRLs for OC were implemented on March 25, 2011 and carried forward in the design of the
Integrated Marketplace. The previous year’s VRL analysis (2013-14) provided data through June 2014 and
this year’s 2014-15 analysis focuses on the following periods;
July 2013 – February 2014 (Block VRL – EIS since last VRL analysis)
March 2014 – June 2014 (Block VRL - Marketplace)
July 2014 – June 2015 (Block VRL – Marketplace)
For all periods in the analysis, Spinning Reserve and Resource Ramp constraints account for less than
1% of all intervals in the Integrated Marketplace. Therefore, for the purposes of this document,
analysis will focus on the Operating Constraint (OC) and the term VRL will represent the OC VRL
unless otherwise stated.
The data examined and analysis conducted by SPP of the use of VRL results in the following preliminary
conclusions and recommendations:
SPP recommends maintaining the current levels for VRL
o Average Shadow Price for breached intervals has decreased since June 2013 even though
the number of OC breached instances has increased
o Average Shadow Price has decreased for binding instances since June 2013 but VRLs are
not applied when constraints are binding (constraint reached but not exceeded), therefore,
this is not a result of VRL levels
o Breached instances where VRLs have been applied continue to account for a small portion
(~2.8%) of all congested intervals
o The occurrences of Spinning Reserve VRL being applied is < 1% of all intervals in the
Real-Time Market and none in the Day-Ahead
SPP will continue to monitor and analyze VRL occurrences and its impacts to prices and reliability
in the Marketplace going forward.
Southwest Power Pool, Inc.
VRL Yearly Analysis
6
Background
Marketplace:
The application of VRLs in Marketplace is similar to that used in the EIS. The Market Clearing Engine
(MCE) is used in both Day-Ahead and Real-Time to co-optimize across multiple products while adhering
to constraints. VRLs are applied in the SCED solution of Day-Ahead and Real-Time when all constraints
cannot be enforced at a Shadow Price less than a predefined VRL. The VRL categories for Marketplace are
the same as the EIS with the addition of a Spinning Reserve constraint category. Table 4 below shows the
categories for VRL in both the EIS and Marketplace. The category names differ slightly between the EIS
and Marketplace but represent similar applications of VRLs.
VRL Values (EIS & Marketplace) Constraint Type Description VRL [$/MW]
Spinning Reserve
requirement *
A MW value representing the
Spinning Reserve requirement. $200
Operating Constraint (OC)
A MW limit that can be
imposed on SPP related to MW
flow across a market node, a
manually-identified
transmission constraint, a Watch
List transmission constraint, a
flowgate constraint, or a
transmission constraint
identified by SPP’s real-time
contingency analysis.
$500 when the loading is greater than
100% and less than or equal to 101%
at each network constraint at each
Operating Constraint.
$750 when the loading is greater than
101% and less than or equal to 102%
at each network constraint
$1,000 when the loading is greater
than 102% and less than or equal to
103% at each network constraint
$1,250 when the loading is greater
than 103% and less than or equal to
104% at each network constraint
$1,500 when the loading is greater
than 104% at each network constraint
Resource Ramp Constraint
The ramp capability of a
resource as indicated in the
resource plan.
$5,000
Global Power Balance
Constraint
Energy needed to balance
resources and load. $50,000
Resource Capacity Constraint
The minimum and maximum
MW dispatchable output of a
resource as indicated in a
Resource Offer.
$100,000
In the Marketplace there also exists unavoidable trade-offs in applying VRLs of the constraint type
categories where a higher VRL value is an indication of the relative priority for enforcing the
Southwest Power Pool, Inc.
VRL Yearly Analysis
7
constraint type. With the addition of the Spinning Reserve requirement of $200/MW, the SCED
solution for the Day-Ahead and Real-Time interprets:
Spinning Reserve Requirement is relaxed before an OC constraint
An OC constraint is relaxed before a resource ramp constraint
A resource ramp constraint is relaxed before the global power balance constraint
The global power balance constraint is relaxed before a resource capacity constraint
Southwest Power Pool, Inc.
VRL Yearly Analysis
8
Analysis of OC Breach Characteristics in the Marketplace
Block VRLs for OC were implemented on March 25, 2011 and carried forward in the design of the
Integrated Marketplace. The previous year’s VRL analysis (2013-14) provided data through June 2014
and this year’s 2014-15 analysis focuses on the following periods;
July 2013 – February 2014 (Block VRL – EIS since last VRL analysis)
March 2014 – June 2014 (Block VRL - Marketplace)
July 2014 – June 2014=5 (Block VRL - Marketplace)
Tables 5, 6, and 7 represent the total Operating Constraint breach instances by the percentage the OC
was beyond the OC limit. A breach instance is any time an operating constraint loading is above the
constraint limit within the dispatch solution. Multiple OC VRL Instances per interval can occur if a
VRL is applied to more than one constraint for that interval. Tables 8 & 9 show a summary of the
constrained instances per period analyzed.
OC Breach Instances (EIS)
Apr 2011 – Jun 2013 Jul 2013 – Feb 2014
Count Avg/Month % Total Count Avg/Month % Total
1% or Less 5,102 189.0 32.4% 3,091 386.4 42.8%
1 – 2% 4,976 61.6 31.6% 1,900 237.5 26.3%
2 – 3% 1,899 25.5 12.0% 883 110.4 12.2%
3 – 4% 1,144 42.4 7.3% 402 50.25 5.6%
4 – 5% 668 24.7 4.2% 217 27.1 3.0%
5 – 6% 405 15.0 2.6% 157 19.6 2.2%
6 – 7% 257 9.5 1.6% 111 13.9 1.5%
7 – 8% 250 9.3 1.6% 95 11.9 1.3%
8 – 9% 177 6.6 1.1% 66 8.3 0.9%
9 – 10% 127 4.7 0.8% 59 7.4 0.8%
10 – 15% 397 14.7 2.5% 134 16.8 1.9%
15 – 20% 152 5.6 1.0% 42 5.3 0.6%
20% + 219 8.1 1.4% 58 7.3 0.8%
Total 15,773 7,215
Table 5
Southwest Power Pool, Inc.
VRL Yearly Analysis
9
OC Breach Instances (Marketplace)
Mar 2014 – Jun 2014
Day-Ahead Real-Time
Count Avg/Month % Total Count Avg/Month % Total
1% or Less 24 6.0 75.0% 3,508 877.0 57.9%
1 – 2% 6 1.5 18.8% 1,010 252.5 16.7%
2 – 3% 2 0.5 6.3% 504 126.0 8.3%
3 – 4% 0 0 0% 269 67.3 4.4%
4 – 5% 0 0 0% 131 32.8 2.2%
5 – 6% 0 0 0% 123 30.8 2.0%
6 – 7% 0 0 0% 102 25.5 1.7%
7 – 8% 0 0 0% 75 18.8 1.2%
8 – 9% 0 0 0% 49 12.2 0.8%
9 – 10% 0 0 0% 31 7.8 0.5%
10 – 15% 0 0 0% 117 29.3 1.9%
15 – 20% 0 0 0% 42 10.5 0.7%
20% + 0 0 0% 94 23.5 1.6%
Total 32 6,055 *Day-Ahead interval is hourly and Real-Time is 5-minute
Table 6
Southwest Power Pool, Inc.
VRL Yearly Analysis
10
OC Breach Instances (Marketplace)
July 2014 – June 2015
Day-Ahead Real-Time
Count Avg/Month % Total Count Avg/Month % Total
1% or Less 55 5.5 82.1% 8947 745.0 51.8%
1 – 2% 11 2.75 16.4% 3078 256.5 17.8%
2 – 3% 2 0.5 0% 1496 124.6 8.6%
3 – 4% 0 0 0% 851 70.9 4.9%
4 – 5% 0 0 0% 451 37.58 2.6%
5 – 6% 0 0 0% 308 25.67 1.8%
6 – 7% 0 0 0% 255 21.25 1.5%
7 – 8% 0 0 0% 191 15.92 1.1%
8 – 9% 0 0 0% 171 14.25 0.99%
9 – 10% 0 0 0% 136 11.33 0.8%
10 – 15% 1 1 1.5% 384 32.0 2.2%
15 – 20% 0 0 0% 191 10.5 1.1%
20% + 0 0 0% 94 23.5 4.7%
Total 68 16,553 *Day-Ahead interval is hourly and Real-Time is 5-minute
Table 7
OC Breach Summary (Marketplace)
Mar 2014 – Jun 2014
Day-Ahead Real-Time
Total Breach Instances 32 6,055
% Congested Instances 0.29% 11.6%
Avg Shadow Price $568.26 $700.72
Avg Breach 1.0% 2.51% *Day-Ahead interval is hourly and Real-Time is 5-minute
Table 8
Southwest Power Pool, Inc.
VRL Yearly Analysis 11
OC Breach Summary (Marketplace)
July 2014 – June 2015
Day-Ahead Real-Time
Total Breach Instances 67 17,262
% Congested Instances 0.15% 10.3%
Avg Shadow Price $328.71 $675.20
Avg Breach 0.7% 2.76% *Day-Ahead interval is hourly and Real-Time is 5-minute
Table 9
Southwest Power Pool, Inc.
VRL Yearly Analysis 12
Figures 3, 4, 5 and 6 depict the same data represented in Tables 6 & 7 (OC Breach Instances (EIS & Marketplace)) for each
of the time periods analyzed.
75.0%
18.8%
6.3%
0.0% 0.0% 0.0% 0.0%0.0%
0.0%0.0%
0.0% 0.0% 0.0%
0%
10%
20%
30%
40%
50%
60%
70%
80%
0
5
10
15
20
25
30
OC
Bre
ach
In
sta
nce
s
Figure 3: OC Breach Instances (Day-Ahead Marketplace)
March 2014 - June 2014
% T
ota
l C
on
stra
int
Bre
ach
es
OC Breach % Beyond Constraint Limit
Southwest Power Pool, Inc.
VRL Yearly Analysis 13
57.9%
16.7%
8.3%
4.4%2.2% 2.0% 1.7%
1.2%0.8% 0.5% 1.9%
0.7%1.6%
0%
10%
20%
30%
40%
50%
60%
70%
0
500
1,000
1,500
2,000
2,500
3,000
3,500
4,000
OC
Bre
ach
In
sta
nce
sFigure 4: OC Breach Instances (Real-Time Marketplace)
March 2014 - June 201413
% T
ota
l C
on
stra
int
Bre
ach
es
OC Breach % Beyond Constraint Limit
Southwest Power Pool, Inc.
VRL Yearly Analysis 14
82.1%
16.4%
0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 1.5% 0.0% 0.0%0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
0
10
20
30
40
50
60
1% orLess
1-2% 2-3% 3-4% 4-5% 5-6% 6-7% 7-8% 8-9% 9-10% 10-15%15-20% 20%+
OC Breach % Beyond Flowgate Limit
Figure 5: OC Breach Instances Day-Ahead Marketplace
July 2014 - June 2015 O
C B
ind
ing
In
sta
nce
s
% T
ota
l F
low
ga
te B
rea
ches
Southwest Power Pool, Inc.
VRL Yearly Analysis 15
51.8%
17.8%
8.6%
4.9%2.6%
1.8% 1.5% 1.1% 1.0% 0.8% 2.2% 1.1%4.7%
0%
10%
20%
30%
40%
50%
60%
0
1000
2000
3000
4000
5000
6000
7000
8000
9000
10000
OC Breach % Beyond Flowgate Limit
Figure 6: OC Breach Instances Real Time Marketplace
July 2014 - June 2015
OC
Bin
din
g I
nst
an
ces
% T
ota
l F
low
ga
te B
rea
ches
Southwest Power Pool, Inc.
VRL Yearly Analysis
16
Tables 9 & 10 show the number of binding intervals and shadow price range for the Marketplace. For
Real-Time, a binding interval is defined as a 5-minute interval where the flow across the constraint
exactly equals the limit of the constraint. Day-Ahead in the Marketplace is for a 1-hour interval. Price
separation occurs and is reported because the algorithms look for the next lowest cost segment of the
next available unit. The cost associated with the displacement of the initial marginal unit is the
incremental cost to calculate a penalty free LMP. Tables 11 & 12 show the summary of binding
instances for the Marketplace.
OC Binding Instances (Marketplace)
Mar 2014 – Jun 2014
Day-Ahead Real-Time
Count Avg/Month % Total Count Avg/Month % Total
$0 - $100 8,861 2,215.3 79.2% 21,131 5,282.8 45.8%
$100 - $200 1,378 344.5 12.3% 9,698 2,424.5 21.0%
$200 - $300 716 179.0 6.4% 8,031 2,007.8 17.4%
$300 - $400 199 49.8 1.8% 4,621 1,155.3 10.0%
$400 + 31 7.8 0.3% 2,699 674.8 5.8%
Total 11,185 46,180 *Day-Ahead interval is hourly and Real-Time is 5-minute
Table 9
OC Binding Instances (Marketplace)
July 2014 – June 2015
Day-Ahead Real-Time
Count Avg/Month % Total Count Avg/Month % Total
$0 - $100 39375 3028.8 79.2% 104462 8035.5 69.8%
$100 - $200 3548 295.7 12.3% 24292 1868.6 16.2%
$200 - $300 764 63.7 6.4% 10466 872.1 7.0%
$300 - $400 202 16.8 1.8% 6273 522.8 4.1%
$400 + 52 6.5 0.3% 4146 345.5 2.7%
Total 43941 149,639 *Day-Ahead interval is hourly and Real-Time is 5-minute
Table 10
Southwest Power Pool, Inc.
VRL Yearly Analysis
17
OC Binding Summary (Marketplace)
Mar 2014 – Jun 2014
Day-Ahead Real-Time
Total Binding Instances 11,185 46,180
Avg Shadow Price $59.66 $152.03 *Day-Ahead interval is hourly and Real-Time is 5-minute
Table 11
OC Binding Summary (Marketplace)
July 2014 – June 2015
Day-Ahead Real-Time
Total Binding Instances 43,941 149,639
Avg Shadow Price $34.44 $91.34 *Day-Ahead interval is hourly and Real-Time is 5-minute
Table 12
Southwest Power Pool, Inc.
VRL Yearly Analysis 18
Figures 9, 10, 11, and 12 depict the same data represented in Tables 9 & 10 (OC Binding Instances) for each of the time
periods analyzed.
79.2%
12.3%
6.4%
1.8% 0.3%
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
0
1,000
2,000
3,000
4,000
5,000
6,000
7,000
8,000
9,000
10,000
$0 - $100 $100 - $200 $200 - $300 $300 - $400 $400+
Figure 9: Total OC Binding Instances by Shadow Price (Day-Ahead)
Tota
l OC
Bin
din
g In
stan
ces
by
Shad
ow
Pri
ce
% T
ota
l OC
Bin
din
g In
stan
ces
by
SP
Southwest Power Pool, Inc.
VRL Yearly Analysis 19
45.8%
21.0%
17.4%
10.0%
5.8%
0%
5%
10%
15%
20%
25%
30%
35%
40%
45%
50%
0
5,000
10,000
15,000
20,000
25,000
$0 - $100 $100 - $200 $200 - $300 $300 - $400 $400+
Figure 10: Total OC Binding Instances by Shadow Price (Real-Time)To
tal O
C B
ind
ing
Inst
ance
s b
y Sh
ado
w P
rice
% T
ota
l OC
Bin
din
g In
stan
ces
by
SP
Southwest Power Pool, Inc.
VRL Yearly Analysis 20
89.6%
8.1%
1.7% 0.5% 0.1%0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
0
5000
10000
15000
20000
25000
30000
35000
40000
45000
$0 - $100 $100 - $200 $200 - $300 $300 - $400 $400+
Figure 11: Total OC Binding Instances by Shadow Price (Day-Ahead)
Tota
l OC
Bin
din
g In
stan
ces
by
Shad
ow
Pri
ce
% T
ota
l OC
Bin
din
g In
stan
ces
by
SP
Southwest Power Pool, Inc.
VRL Yearly Analysis 1
69.8%
16.2%
7.0%4.2% 2.8%
0%
10%
20%
30%
40%
50%
60%
70%
80%
0
20000
40000
60000
80000
100000
120000
$0 - $100 $100 - $200 $200 - $300 $300 - $400 $400+
Figure 12: Total OC Binding Instances by Shadow Price (Real-Time)
Tota
l OC
Bin
din
g In
stan
ces
by
Shad
ow
Pri
ce
% T
ota
l OC
Bin
din
g In
stan
ces
by
SP
Southwest Power Pool, Inc.
VRL Yearly Analysis 2