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


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.


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


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


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.


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


than 103% and less than or equal to

104% at each network constraint


than 104% at each network constraint

Resource Ramp Constraint

The ramp capability of a

resource as indicated in the

resource plan.

$5,000


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


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


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


VRL Yearly Analysis

9

OC Breach Instances (Marketplace)

Mar 2014 – Jun 2014

Day-Ahead Real-Time


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


VRL Yearly Analysis

10

OC Breach Instances (Marketplace)

July 2014 – June 2015

Day-Ahead Real-Time


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%


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


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



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

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on

stra

int

Bre

ach

es

OC Breach % Beyond Constraint Limit



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

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on

stra

int

Bre

ach

es

OC Breach % Beyond Constraint Limit



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

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In

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s

% T

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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

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% T

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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


$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


$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%


Table 10


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



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

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% T

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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

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Inst

ance

s b

y Sh

ado

w P

rice

% T

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Bin

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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

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% T

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Bin

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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

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% T

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Bin

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