EU Electricity Market Design

The four German TSOs are finalizing the addition of 15-minute products to the current 4-hour aFRR and mFRR capacity products. These are to go live by the end of October. This will essentially allow market participants to submit both 15-minute and 4-hour capacity bids. The 15-minute bids will get combined by the TSOs into synthetic 4-hour bids for clearing. For aFRR this keeps the German market compatible with cross-border procurement via ALPACA. ...

The EU intraday continuous market (SIDC) runs on a limit orderbook (LOB) which is a dynamic queue where bids (buy orders) and offers (sell orders) are continuously added, cancelled, modified and executed. For a given delivery product and trading area, sorting bids from highest to lowest price and offers from lowest to highest price, at any given moment we should see a clear gap between the offer and the bid stack: Those who are looking to sell (offer) will usually demand a higher price than what those who are looking to buy (bid) are willing to pay. ...

In an electricity wholesale auction (day-ahead / SDAC and intraday / IDA) we need to decide what orders to accept from producers and consumers. But what objective should guide that decision? Lowest consumer purchase price? Highest producer sell price? A sensible objective is the total gains from the accepted orders, the economic welfare, where the accepted orders need to respect the grid’s limits. Let’s imagine there were no grid limits and we see the following auction orders: ...

For those of us working on BESS intraday optimization, what historical market data do we actually need for a backtest? I see three useful levels for European continuous markets: Aggregates: VWAP, min/max, ID1/ID3 and traded volumes. Useful for testing whether an optimizer finds valuable periods, but not execution data. A VWAP does not tell you whether 5 MW was available at 14:37 at your selected price. Transactions: timestamp, price and volume for every executed trade. Probably the best compromise for a small, approximately price-taking BESS. Transaction data gives a clear view of realized market outcomes—the prices and quantities where supply and demand actually intersect. But it cannot show spread, depth, queue position or whether your order would have executed. ...