virtual bidding in the nyiso - california iso · virtual bidding in the nyiso. 2 ... Þvirtual...
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Bob de MelloBob de Mello Nicole Nicole BouchezBouchez518518--356356--60026002 [email protected]@nyiso.com [email protected]@nyiso.com
Virtual Bidding in the NYISOVirtual Bidding in the NYISO
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September 6, 20062
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30 minutes – Virtual Bidding in New YorkNYISO overviewZonal Virtual Bids to Purchase and Offers to SellSettlementCollateral RequirementsUplift AllocationMonitoring of Virtual BiddingNew York Experience
90 minutes - Questions & Answers
AgendaAgenda
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HighlightsHighlightsNew York electricity markets went live in December 1999Day-Ahead and Real-Time market for energy, reserve, and regulation.
Three reserve locationsThree reserve types (Spinning, 10 minute nonsync, 30-minute)
Transmission Congestion Contract (TCC) and Capacity marketsOther ancillary services: voltage support and black startMarket volume ~$10.7 Billion (2005)Virtual Bidding was introduced in November 2001 after many months of spirited discussions with market participants.
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2005 2005 Energy Market ActivityEnergy Market Activity
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Eleven load zones (A-K)Four neighboring control areas (M-P)Energy flow is largely West to East and North to South delivering energy to the greater NYC area
Congestion is commonNew York Control Area has ~4000 MW of quick-start combustion turbines (~12% of peak load)Load, virtual load, and virtual supply settle at zonal pricesGenerators settle at bus prices
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DayDay--Ahead MarketAhead Market
Day-Ahead Market Evaluation generates prices and schedules for the next day. It involves multiple SCUC runs to:
Commit and schedule generators to satisfy bid load, virtual load, and virtual supplyCommit additional generators to satisfy forecast load (if needed for reliability)Apply mitigation (if needed)
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Virtual trading is the arbitrage of day-ahead to real-time energy price differences.
Virtual energy purchases are sold back in real-time by the virtual trader.Virtual energy sales are bought back in real-time by the virtual trader.
Allows physical load/generation to hedge positions between the day-ahead and real-time. Converges Day-Ahead and Real-Time energy prices.Provides a better Day-Ahead commitment.Increases liquidity because more participants are in the day-ahead energy market.Provides more degrees of freedom in finding an optimum solution to the security-constrained unit commitment and dispatch problems therefore more certainty of converging to a solution.
Virtual Trading Virtual Trading –– RationaleRationale
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Virtual Trading RulesVirtual Trading RulesRoughly speaking, the collateral requirements are designed to cover two days of “bad losses.” The DA-RT price spread for the most recent 90 days at the 97% level is used to determine the potential for “bad losses.”Virtual Load/Supply must have an associated price. It is scheduled only if the price is right.Virtual Load/Supply is always zonal and must be placed at one of NY’s 11 load zones.Virtual Load/Supply settles at zonal prices.Virtual supply may incur a portion of day-ahead uplift costs.
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COMPARISON of CREDIT REQUIREMENTS• Credit requirements are calculated separately for each market:
• Energy: based on highest month of energy purchases in the prior equivalent capability period, extrapolated over 50 days
• UCAP: credit must equal amount of desired bid amount, and once bidsclear, credit must equal billed, but not paid or unbilled UCAP obligations
• TCC: credit must equal amount of desired bid amount, and once bids clear, a credit requirement to hold TCCs is calculated based on market clearing price of bids and duration of TCC held
• Virtual Transactions: credit equals MWHs daily trading limit x $ per MWH x 2 days where $ per MWH is calculated as the highest 97th percentile value (across the 11 zones) of the price delta between DAM and RT.
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DayDay--Ahead Commitment ProcessAhead Commitment Process
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Generator Offers,Load Bids,
Virtual Bids & Offers
Generator Offers,Load Forecast
Bid Load Passes
Forecast Load Passes
-1-Units committed to meet bid load & virtual supply
-2-More units
committed to meet forecast
load
-3-More units
committed forLocal Reliability
#1
#2
#3
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Uplift AllocationUplift AllocationSome generating units are committed to meet accepted load bids less accepted virtual supply bids
Uplift of these generators is allocated to physical load
Some generating units may be committed to secure the system using the ISO’s best estimate of the next day’s load
Uplift of these generators is allocated to (i) virtual supply and (ii) physical load that under-bought day-ahead.
Some generating units may be committed for local reliability
Uplift of these generators is assigned to the affected LSEs
#1
#2
#3
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NYISO Price ConvergenceDAM and Real Time LBMP - NYCA Wide
0%
20%
40%
60%
80%
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120%
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RT
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erge
nce
From
DAM
2000 2001 2002
2001 Mean
2002 Mean
2000 Mean
Values closer to zero indicate price convergence. In order to smooth day to day variations, a 28-Day Moving Average of ABS((RT/DAM) - 1) is used.(Data through 8/6/2006)
2003
2003 Mean
2004
2004 Mean
2005
2005 Mean
2006
2006 Mean
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NYISO Virtual Trading - Average MWh per day
0
50,000
100,000
150,000
200,000
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350,000
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450,000
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700,000
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-01
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-02
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-02
Jul-0
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Ave
rage
MW
h/da
y
Virtual Supply Bid - Scheduled Virtual Supply Bid - Not ScheduledVirtual Load Bid - Scheduled Virtual Load Bid - Not ScheduledMWh Authorized - Not Bid
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Primarily concerned that Virtual Trading does NOT cause price divergence between Day-Ahead and Real-Time. It is supposed to converge prices.Convergence between DAM and RT is monitored.Off-line Security-Constrained Unit Commitment (SCUC) is used to evaluate the DA market without Virtual TradingThe Portfolio Ownership Bid Evaluation program (PROBE) is also used to evaluate the DA market without Virtual Trading but looks at portfolio positions as well
Capable of monitoring, flagging, and screening the bidding patterns of generators, marketers and LSEs bidders (collectively, Portfolio Owners or “PO’s”).Detects incidents of possible anti-competitive bidding behavior by these PO’s in the presence (or not) of transmission congestion.
Evidence of an interaction of Virtual Trading with TCCs has been observed.
MonitoringMonitoring
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ConclusionConclusionIncreased convergence
Evidence of LBMP convergenceThe mean yearly absolute percent deviation between DAM and RT LBMPs is decreasingThere is evidence that the deviation between DAM and RT is decreasing over time
Evidence of TCC revenue convergenceVirtual bidding allows DAM TCC revenues to more closely resemble the revenue the contracts would have received had they been settled with Real Time prices.
Zonal virtual bids/offers.More stable Day-Ahead solution.