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Module 3
Day-Ahead Market
3
Module Overview
Exit
Enter
Fundamentals of the Nodal Market
Day–AheadMarket
4
• Identify the timeline and define the purpose of the Day-Ahead Market
• Describe the inputs into the Day-Ahead Market
• Identify the submittal requirements for the Day-Ahead Market offers and bids
• Illustrate the Day-Ahead Market clearing process
• Identify the charges and payments associated with the Day-Ahead Market
Upon completion of this module, you will be able to:
Module Objectives
5
Bids vs. Offers
EnergyLoadZone 4
$40
A Bid is a proposal to buy:
• A Product• At a Location• For a Price
An Offer is a proposal to sell:
• A product• At a Location• For a Price
6
Products bought and sold in the DAM:
Day-Ahead Market
Energy Offers & Bids
Ancillary Service Offers
PTP Obligation Bids
Energy Awards
PTP Obligation Awards
Ancillary Service Awards
Day-AheadMarket
7
DAM Participation is Voluntary & Financially Binding
Day-Ahead Market
Energy Offers & Bids
Ancillary Service Offers
PTP Obligation Bids
Energy Awards
PTP Obligation Awards
Ancillary Service Awards
Day-AheadMarket
Some exceptions:
• QSEs with load are financially obligated for Ancillary Services
• Ancillary Service Awards are physically binding
8
0
50
100
150
200
250
300
350
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24
$/M
Wh
Hour
Houston Load Zone 7/22/2017
DAM-SPP
Real Time-SPP
Real-Time Prices are Volatile!
Why the Day-Ahead Market?
9
Submit:• Bids & Offers• Self-Arranged AS
Quantities
Update:• COP• AS Trades
DAM involves both QSE and ERCOT activities
Day-Ahead Market Activities Overview
Submit:• Bids & Offers• Self-Arranged AS
Quantities
Update:• COP• AS TradesQ
SEAc
tivity
ERC
OT
Activ
ity
DAM DRUC
Publish AS Obligations and system conditions
Begin DAM
Execution
CommunicateDAM
Awards
0600 1000 1330 1430
10
ERCOT must publish Ancillary Service Obligations
ERCOT Activities at 6 a.m.
Submit:• Bids & Offers• Self-Arranged AS
Quantities
Update:• COP• AS Trades
Submit:• Bids & Offers• Self-Arranged AS
Quantities
Update:• COP• AS TradesQ
SEAc
tivity
ERC
OT
Activ
ity
DAM DRUC
Publish AS Obligations and system conditions
Begin DAM
Execution
CommunicateDAM
Awards
0600 1000 1330 1430
11
The required quantity in MW of each Ancillary Service for each hour of the Operating Day ERCOT-wide
• Developed by ERCOT
• Posted to MIS Public Area by 0600
Ancillary Service (AS) Plan
Ancillary Service Plan
12
• AS Plan quantities are assigned to LSEs based on Load Ratio Shares
• Assignments are made by service, by hour
Ancillary Service (AS) Plan
Ancillary Service Plan
13
• AS quantities are then aggregated to the QSE Level by service, by hour
• Posted to MIS Certified Area by 0600 of the Operating Day
Ancillary Service (AS) Obligation
Ancillary Service Plan
14
QSE chooses how to fulfill Obligations
Ancillary Service Obligations
Allow ERCOT to procureSelf-Arrange
DAM
15
The net amount of Ancillary Service capacity that the QSE is obligated to deliver to ERCOT, by hour and service type, from Resources represented by the QSE.
Ancillary Service (AS) Supply Responsibility
Ancillary Service Supply Responsibility
16
Ancillary Service (AS) Supply Responsibility
Ancillary Service Supply Responsibility
Self-Arranged AS Quantities+ AS Trades in which the QSE is the Seller+ Awarded AS Offers– AS Trades where the QSE is the Buyer
= Ancillary Service Supply Responsibility
Calculation
17
The AS Resource Responsibility indicates which of the QSE’s Resources will be obligated to provide the AS Supply Responsibility in Real-Time.
Ancillary Service (AS) Resource Responsibility
Ancillary Service Resource Responsibility
18
• Communicated through Current Operating Plan (COP)
Identifies:
• Hour(s) Resource will be providing AS• Type of AS• Amount (MW) of AS
Ancillary Service (AS) Resource Responsibility
Ancillary Service Resource Responsibility
QSE’s AS Resource Responsibility must be arranged by 1430 Day-Ahead:
• After DAM• Before DRUC
19
Ancillary Service – Scenario
• ERCOT assigns part of the AS Plan quantity, by service, by hour, to each LSE based on its Load Ratio Share of seven days ago.
• The ERCOT load for the hour we are using in our example is 50,000 MW.
ERCOT Load
50,000 MW
Scenario
20
• ERCOT uses each LSE’s Adjusted Metered Load to determine Load Ratio Share
Two LSEs:
Ancillary Service
Adjusted Metered Load
LSE “Lazy P” Load= 1000 MW
LSE “Diamond Bar” Load = 1500 MW
P
Scenario
21
Load Ratio Share Calculation:
Ancillary Service
Load Ratio Share =
(LSE ) 1000 MW / 50,000 MW = 2%
(LSE ) 1500 MW / 50,000 MW = 3%
P
Adjusted Metered Load
LSE “Lazy P” 2%
LSE “Diamond Bar” 3%
P
Scenario
22
• QSE 1 Load Ratio Share is sum of both LSEs Load Ratio Shares
• ERCOT will use QSE 1’s Load Ratio Share to determine
• Ancillary Service Obligation for each service, each hour of Operating Day
QSE 1 represents both LSEs
Ancillary Service
Load Ratio Share of QSE 1:
(LSE ) 2% + (LSE ) 3% = 5%P
Scenario
23
ERCOT must publish System Conditions
ERCOT Activities at 6 a.m.
Submit:• Bids & Offers• Self-Arranged AS
Quantities
Update:• COP• AS Trades
Submit:• Bids & Offers• Self-Arranged AS
Quantities
Update:• COP• AS TradesQ
SEAc
tivity
ERC
OT
Activ
ity
DAM DRUC
Publish AS Obligations and system conditions
Begin DAM
Execution
CommunicateDAM
Awards
0600 1000 1330 1430
24
System Conditions posted by ERCOT to MIS:
Publishing
ERCOT Posts… For
Weather assumptions Forecasting system conditions and Dynamic Ratings Processor
ERCOT System, Weather Zone, and Load Zone forecasts Next seven days, by hour
Load forecast distribution factors MPs to estimate Load at the Bus level
Settlement Points List and Electrical Buses Mapping
Current list of Settlement Points that may be used in market processes and transactions
List of active Transmission constraints Indication of likely binding constraints
Forecasted Load Profiles Non-IDR metered customers
Forecasted Distribution Loss Factors and Transmission Loss Factors Each Settlement Interval
Network Operations Model topology* Each hour of the Operating Day
*Available on MIS Secure
25
Next, let’s discuss QSE Activities:
QSE Activities Overview
Submit:• Bids & Offers• Self-Arranged AS
Quantities
Update:• COP• AS Trades
Submit:• Bids & Offers• Self-Arranged AS
Quantities
Update:• COP• AS TradesQ
SEAc
tivity
ERC
OT
Activ
ity
DAM DRUC
Publish AS Obligations and system conditions
Begin DAM
Execution
CommunicateDAM
Awards
0600 1000 1330 1430
26
QSE Activities Overview
Submit:• Bids & Offers for Energy • Bids for PTP Obligations• AS Offers• Self-Arranged AS Quantities
Update:• Current Operating Plan• AS Trades
QSE
Act
ivity
14301000
27
Submit Three-Part Supply Offers
QSE Activities – Bids and Offers for Energy
Submit:• Bids & Offers for Energy • Bids for PTP Obligations• AS Offers• Self-Arranged AS Quantities
Update: • Current Operating Plan• AS Trades
QSE
Act
ivity
14301000
28
• Offer to sell energy from a Generation Resource • Must specify:
• Resource name• First and last hour• Expiration date and time
What is a Three-Part Supply Offer?
Three-Part Supply Offer
Minimum Energy OfferStartup Offer Energy Offer Curve$/MWh
MW
$/Start
$/MWh
29
• Cost to start Resource and reach Low Sustained Limit (LSL)• Actually three separate offers
• Hot Start• Intermediate Start• Cold Start
What is a Startup Offer?
Three-Part Supply Offer
Minimum Energy OfferStartup Offer Energy Offer Curve$/MWh
MW
$/Start
$/MWh
30
Cost per MW per hour to operate a Resource at Low Sustained Limit (LSL)
What is a Minimum-Energy Offer?
Three-Part Supply Offer
Minimum Energy OfferStartup Offer Energy Offer Curve$/MWh
MW
$/Start
$/MWh
31
These two offers can only be submitted as part of a Three-Part Supply Offer.
Startup & Minimum-Energy Offers
Three-Part Supply Offer
Minimum Energy OfferStartup Offer Energy Offer Curve$/MWh
MW
$/Start
$/MWh
32
• Offers must be ≤ 200% of Generic Costs
• QSE must submit percentages of Fuel Index Price (FIP) and Fuel Oil Price (FOP) at LSL to determine Generic Minimum Energy Cost
Start Up and Minimum Energy Offers Caps:
Three-Part Supply Offer
Minimum Energy OfferStartup Offer Energy Offer Curve$/MWh
MW
$/Start
$/MWh
33
• QSE may submit verifiable cost data for actual Startup & Minimum-Energy cost
• Then, offers must be ≤ 200% of approved Verifiable Costs
Start Up and Minimum Energy Offers Caps:
Three-Part Supply Offer
Minimum Energy OfferStartup Offer Energy Offer Curve$/MWh
MW
$/Start
$/MWh
34
Offer to sell energy at or above a certain price, and at a certain quantity (above Low Sustained Limit)
What is an Energy Offer Curve?
Three-Part Supply Offer
Minimum Energy OfferStartup Offer Energy Offer Curve$/MWh
MW
$/Start
$/MWhA QSE may submit just an Energy
Offer Curve, independent of Startup & Minimum Energy Offers
35
• Monotonically increasing offer curve
• Ten price/quantity pairs max
• One MW minimum quantity
• Prices between -$250 and System-Wide Offer Cap (SWCAP)
• Inclusive or exclusive designation relative to DAM Ancillary Service offers from the same Resource
• Percentage of Fuel Index Price (FIP) and Fuel Oil Price (FOP) for generation above LSL
An Energy Offer Curve must include:
Three-Part Supply Offer
Energy Offer Curve$/MWh
MW
36
Where are the Three Parts used?
Three-Part Supply Offer
Three-Part Supply Offer
StartupOffer
MinimumEnergyOffer
EnergyOfferCurve
Day-Ahead Market
RUC-Commitment
Real-Time Dispatch
37
Submit Energy Bids & Energy-Only Offers
QSE Activities – Bids and Offers for Energy
Submit:• Bids & Offers for Energy • Bids for PTP Obligations• AS Offers• Self-Arranged AS Quantities
Update:• Current Operating Plan• AS Trades
QSE
Act
ivity
14301000
38
What’s the difference?
Energy Bids & Energy-Only Offers
DAM Energy Bid:
Is a QSE’s willingness to buy energy:
At or below a certain price
At a certain quantity
At a specific Settlement Point in the DAM.
DAM Energy-Only Offer:
• Is a QSE’s willingness to sell energy:
At or above a certain price
At a certain quantity
At a specific Settlement Point in the DAM.
39
• Energy-Only Offers are NOT resource-specific
• QSE does not have to own Resources to offer energy
DAM Energy-Only Offers
Energy Bids & Energy-Only Offers
In the Day-Ahead Market, the QSE is paid
the Settlement Point Price for their energy
award
In Real-Time, the QSE has a
financial obligation to provide the energy
40
• Proposal to buy energy
• At a specified settlement point
• At or below a specified price
DAM Energy Bids
Energy Bids & Energy-Only Offers
In the Day-Ahead Market, the QSE is
charged the Settlement Point Price for their
energy award
In Real-Time, the QSE receives a
financial credit for providing the energy
41
• Operating Day
• The Settlement Point
• The expiration time and date of the offer or bid
• Price and quantity for each hour of the offer or bid• Curve• Fixed Quantity Block• Variable Quantity Block
QSE must include:
Energy Bids & Energy-Only Offers
42
• Operating Day
• The Settlement Point
• The expiration time and date of the offer or bid
• Price and quantity for each hour of the offer or bid• Curve• Fixed Quantity Block• Variable Quantity Block
QSE must include:
Energy Bids & Energy-Only Offers
Day-Ahead Market Energy-Only Offers:
• Price range must be between -$250.00 and System Wide Offer Cap
• Minimum offer = 1 MW
Day-Ahead Market Energy Bids
• Minimum bid = 1 MW
43
• Offers - Monotonically increasing
• Bids - Monotonically decreasing
Curve with up to 10 Price/Quantity Pairs
Energy-Only Offer and Energy Bid Types
Energy-Only Offer
$ / M
Wh
MW
Energy Bid
$ / M
Wh
MW
44
• Fixed Quantity – All MW or nothing
• Variable Quantity – Up to specified MW
Block with Single Price/Quantity Pair
Energy-Only Offer and Energy Bid Types
Fixed Quantity Block
$ / M
Wh
MW
Variable Quantity Block
$ / M
Wh
MW
45
QSE may also expand a Block Bid or Offer to be a Multi-Hour Block
Energy-Only Offer and Energy Bid Types
Fixed Quantity Block
$ / M
Wh
MW
Variable Quantity Block
$ / M
Wh
MW
Multi-hour Block? Multi-hour Block?
46
• Fixed Quantity Multi-hour Block:
• Bids 10 MW at $50/MWh for HE 0700-2200.
• Single price, single quantity for all hours in the block
Scenario:
Fixed vs. Variable Multi-hour Blocks
Fixed Variable
Hours: 0700-2200 0700-2200
MW: 10 Up to 10
$/MWh: $50.00 $50.00
Fixed – Must clear all MWs for all hours or none Variable – Must clear all hours or none
Scenario
47
• Variable Quantity Multi-hour Block:
• Bids 10 MW at $50/MWh for HE 0700-2200.
• Single price, single “up to” quantity contingent on the purchase of all hours in the block
Scenario:
Fixed vs. Variable Multi-hour Blocks
Fixed Variable
Hours: 0700-2200 0700-2200
MW: 10 Up to 10
$/MWh: $50.00 $50.00
Fixed – Must clear all MWs for all hours or none Variable – Must clear all hours or none
Scenario
48
• ERCOT will notify the QSE submitting via the Messaging System
• The QSE can then resubmit the offer or bid within appropriate market timeline
If an offer or bid is rejected or invalid:
Validation
If an offer or bid is accepted:
ERCOT will continuously validate offers and bids and continuously display on the MIS Certified Area information that allows any QSE to view its valid offers and bids.
49
Submit Bids for PTP Obligations
QSE Activities – PTP Obligations
Submit:• Bids & Offers for Energy • Bids for PTP Obligations• AS Offers• Self-Arranged AS Quantities
Update: • Current Operating Plan• AS Trades
QSE
Act
ivity
14301000
50
Congestion Costs
Resource Node
$30/MWh
$30/MWh
$30/MWh
Hub
Load Zone
$40/MWh
$50/MWh
$25/MWh
Price separation across the grid exposes buyers and sellers of energy to
Congestion Costs
51
• Hedge congestion costs in Real-Time Market
• Purchased at DAM price spread
• Settled at Real-Time price spread
Day-Ahead Market PTP Obligations
Hedging Congestion Costs
Source
Hub
Sink
$40/MWh
$50/MWh
$25/MWh
52
• Operating Day
• Source and Sink Settlement Points
• For each hour:
• MW Quantity
• (Sink – Source) price buyer is willing to pay
QSE must include
DAM Point-to-Point Obligation Bids
SourceSettlement
Point
SinkSettlement
Point
PTP Obligation
53
Submit Ancillary Service Offers
QSE Activities – Ancillary Service Offers
Submit:• Bids & Offers for Energy • Bids for PTP Obligations• AS Offers• Self-Arranged AS Quantities
Update: • Current Operating Plan• AS Trades
QSE
Act
ivity
14301000
54
Offer to supply one or more Ancillary Service Capacities in the Day-Ahead Market or a Supplemental Ancillary Services Market
What is an Ancillary Service Offer?
Ancillary Service Offers
Type of AS Offer
Reg Up Price / MW
Reg Down Price / MW
Responsive Reserve Price / MW
Non-Spin Price / MW
55
Ancillary Service Offers may be inclusive of Energy Offers
Ancillary Service Offers – Inclusive / Exclusive
AND
Type of AS Offer
Reg Up Price / MW
Reg Down Price / MW
Responsive Reserve Price / MW
Non-Spin Price / MW
Energy Offer CurveIncremental cost above LSL ($/MWh)
MW
56
Ancillary Service Offers may be exclusive of Energy Offers
Ancillary Service Offers – Inclusive / Exclusive
Type of AS Offer
Reg Up Price / MW
Reg Down Price / MW
Responsive Reserve Price / MW
Non-Spin Price / MW
Energy Offer CurveIncremental cost above LSL ($/MWh)
MW
OR
57
• DAM assumes the Resource is Off-Line
• Resource can only be awarded AS if the Three-Part Supply Offer is also awarded
• The total capacity awarded must be within the Resource’s limits as specified in the COP
AS Offer linked to a Three-Part Supply Offer:
Linked Ancillary Service Offers
Minimum Energy Offer
Startup Offer Energy Offer CurveIncremental cost above LSL ($/MWh)
MW
$/Start
$/MWh
Cost up to LSL Cost per hour at LSL
58
• DAM assumes the Resource is On-Line
• The total capacity awarded must be within the Resource’s limits as specified in the COP
AS Offer linked to other AS Offers or Energy Offer Curve:
Linked Ancillary Service Offers
Energy Offer CurveIncremental cost above LSL ($/MWh)
MW
59
• Operating Day
To submit an AS Offer, a QSE must include:
Submittal Criteria for AS Offers
60
• Operating Day
• The Resource
To submit an AS Offer, a QSE must include:
Submittal Criteria for AS Offers
61
• Operating Day
• The Resource
• Quantity of MWs offered, and price for each AS type being offered from this same capacity
To submit an AS Offer, a QSE must include:
Submittal Criteria for AS Offers
Type of AS Offer
Reg Up MW $ / MW
Reg Down MW $ / MW
Responsive Reserve MW $ / MW
Non-Spin MW $ / MW
62
• Operating Day
• The Resource
• Quantity of MWs offered, and price for each AS type being offered from this same capacity
• The expiration time and date of the offer
To submit an AS Offer, a QSE must include:
Submittal Criteria for AS Offers
63
• Operating Day
• The Resource
• Quantity of MWs offered, and price for each AS type being offered from this same capacity
• The expiration time and date of the offer
• Fixed or variable quantity indicator
To submit an AS Offer, a QSE must include:
Submittal Criteria for AS Offers
Fixed Quantity Block Variable Quantity Block
64
• Can be offered only by a Load Resource
• Single price ($/MW) and single quantity (MW)
• Cannot exceed 150 MW
Fixed Quantity Block Ancillary Service Offer:
Submittal Criteria for AS Offers
Fixed Variable
Hours: 0700-2200 0700-2200
MW: 10 Up to 10
$/MW: $15.00 $15.00
Can be multi-hour blockFixed Quantity Block
$ / M
W
MW
65
• Can be offered by Generation or Load Resource
• Single price ($/MW) and single “up to” quantity (MW)
Variable Quantity Block Ancillary Service Offer:
Submittal Criteria for AS Offers
Fixed Variable
Hours: 0700-2200 0700-2200
MW: 10 Up to 10
$/MW: $15.00 $15.00
Can be multi-hour block
$ / M
W
MW
Variable Quantity Block
66
• Price must be between $0 and the System Wide Offer Cap
• The minimum offer amount for each AS product is 0.1 MW
• A single Resource may submit offers for more than one AS
Ancillary Service Offer Limits:
Submittal Criteria for AS Offers
Fixed Quantity Block
$ / M
W
MW
Variable Quantity Block
$ / M
W
MW
67
• ERCOT will notify the QSE submitting an AS Offer
• The QSE can then resubmit the offer within the appropriate market timeline
If an offer is accepted:
• ERCOT will continuously validate AS Offers and continuously display on the MIS Certified Area information that allows any QSE named in an AS Offer to view its confirmed AS Offers.
If an offer is rejected or invalid:
Validation
68
Submit Self-Arranged Ancillary Service Quantities
QSE Activities – Self-Arranged Ancillary Services
Submit:• Bids & Offers for Energy • Bids for PTP Obligations• AS Offers• Self-Arranged AS Quantities
Update: • Current Operating Plan• AS Trades
QSE
Act
ivity
14301000
69
• All or part by Ancillary Service by hour• Must submit Self-Arranged AS Quantities by 10:00
Impact:
Reduces the amount of each Ancillary Service that ERCOT procures on behalf of the QSE
A QSE may self-arrange its AS Obligations:
Self-Arranged AS Overview
This provision applies to both DAM and SASMs.
70
Options for self-arranged Ancillary Services
Self-Arranged AS Overview
Using own Resources
Through AS trades
71
• Up to 100 MW for Responsive and Non-Spin Reserve• Up to 25 MW for Regulation Up and Down• Self-arranged quantity from QSE’s own Resources may not
exceed AS Obligation
Impact:
QSEs are paid for the extra Ancillary Services they provide
A QSE may self-arrange more than its AS Obligations:
Self-Arranged AS Overview
This provision applies to both DAM and SASMs.
72
• Limited to -500 MW for each Ancillary Service• Limited in magnitude to net Ancillary Service Trades
Impact:
ERCOT procures extra AS Quantities in DAM on behalf of the QSE.
A QSE may submit negative Self-Arranged AS Quantities:
Self-Arranged AS Overview
This provision applies only to DAM; not allowed
in SASMs.
73
• QSE self-arranges portion of AS• ERCOT must procure AS in DAM
For Hour Ending 7:
Self-Arranged AS
Type of AS QSE 1 Obligations
Self-Arranged Hour = 6
Self-ArrangedHour = 7
ERCOT Must Procure in
DAM Hour = 7
Reg Up 50 MW 50 MW 50 MW 0 MW
Reg Down 25 MW 25 MW 15 MW 10 MW
Responsive Reserve 115 MW 115 MW 75 MW 40 MW
Non-Spin 60 MW 60 MW 60 MW 0 MW
Scenario
74
Update Current Operating Plan
QSE Activities – Current Operating Plan
Submit:• Bids & Offers for Energy • Bids for PTP Obligations• AS Offers• Self-Arranged AS Quantities
Update: • Current Operating Plan• AS Trades
QSE
Act
ivity
14301000
75
• A plan by a QSE reflecting anticipated operating conditions
• Provides accurate information about Resources from a planning perspective
What is a Current Operating Plan (COP)?
Current Operating Plan Overview
COP Business Practice Manual:
http://www.ercot.com/mktrules/bpm/index.html
76
• Day-Ahead Market
• Reliability Unit Commitment
The COP Provides Input into:
Current Operating Plan Overview
The COP is not used in Real-Time Operations.
77
• COPs include operating conditions for each Resource, for each hour in the next seven Operating Days
Timeframe Criteria:
Current Operating Plan Overview
• COPs may be modified up to the end of the Adjustment Period for each Resource
• A QSE has 60 minutes after an event to modify or update its COP to reflect changes in availability of a Resource
78
Any QSE representing a Resource is obligated to submit a Current Operating Plan (COP) for each Resource.
To submit a COP, a QSE must include:
• The Name of the Resource
• Expected Resource Status
• Low/High Sustained Limit (LSL / HSL)
• Low/High Emergency Limit
• Capacity for Ancillary Service Types
Submittal Criteria for COP
79
• Combined Cycle Generation Resources (CCGRs)
• Wind-Powered Generation Resources (WGRs)
• Photovoltaic Generation Resources (PVGRs)
Three types of Resources have special submittal criteria
Submittal Criteria for COP
80
• A registered configuration of a Combined Cycle Train
• Offered as a single Resource
Combined Cycle Generation Resource (CCGR):
Submittal Criteria for COP
CCGR 1
Combined Cycle Train
ST1 GT1 GT2 GT3
CCGR 2
CCGR 3
QSE must submit a COP for each registered CCGR
81
• For the first 168 hours, ERCOT will set COP HSL equal to the Short-Term Wind Power Forecast
• QSE may override to a lesser value
Photovoltaic Generation Resource (PVGR):
• For the first 168 hours, ERCOT will set COP HSL equal to the Short-Term Photovoltaic Power Forecast
• QSE may override to a lesser value
Wind-Powered Generation Resource (WGR):
Submittal Criteria for COP
82
• ERCOT will notify the QSE submitting the COP
• The QSE must then resubmit the COP as soon as possible
If a COP is found to be invalid:
Validation
83
• The COP must identify sufficient Resource capacity to fulfill Ancillary Service Supply Responsibility for each hour.
• ERCOT will notify a QSE if AS capacity designated in the COP for any service type is less than the QSE's AS Supply Responsibility for that service type.
COPs and Ancillary Services (AS):
Validation
QSEs must correct deficiencies in their COP within one hour after
being notified by ERCOT
84
Determine Source of Self-Arranged Ancillary Services
QSE Activities – Current Operating Plan and/or AS Trades
Submit:• Bids & Offers for Energy • Bids for PTP Obligations• AS Offers• Self-Arranged AS Quantities
Update: • Current Operating Plan• AS Trades
QSE
Act
ivity
14301000
85
By 1430, QSE must notify ERCOT how Self-Arranged Ancillary Service quantities will be supplied
Source of Self-Arranged Ancillary Services
Using own Resources? Update COP
Through AS trades? Report Trade Seller will update
their COP
86
ERCOT executes the DAM clearing process
ERCOT Activities at 10:00 a.m.
Submit:• Bids & Offers• Self-Arranged AS
Quantities
Update:• COP• AS Trades
Submit:• Bids & Offers• Self-Arranged AS
Quantities
Update:• COP• AS TradesQ
SEAc
tivity
ERC
OT
Activ
ity
DAM DRUC
Publish AS Obligations and system conditions
Begin DAM
Execution
CommunicateDAM
Awards
0600 1000 1330 1430
87
DAM Clearing Process
Energy Offers & Bids
Ancillary Service Offers & Self-Arranged Qtys
PTP Obligation Bids
Awarded Energy Offers & Bids
Awarded PTP Obligation Bids
Awarded Ancillary Service
Offers
Day-AheadMarket
Economically & simultaneously clears Offers and Bids
Network Operations
Model
88
• Security constraints
• Power Balance constraint
• Transmission constraints
• Resource constraints
• Linked Offer constraints
• Block Offer and Bid constraints
• Ancillary Service Requirements
Subject to the following constraints:
DAM Clearing Process
89
• Used to distribute bids and offers at Load Zones
• MWs are distributed to electrical buses based on historical power flows
• Allows DAM to model bids as MW withdrawals and offers as MW injections
Impact
• Award volumes• DAM prices
Load Distribution Factors
DAM Clearing Process
90
DAM Bids: 10,000 MWScenario
DAM Clearing Process
Bus C0%
Bus A2500 MW
25%
Bus B6000 MW
60%
Bus D1500 MW
15%
Load Distribution Factors for DAM are chosen based on “cold,” “mild,” or “hot”
proxy days.
91
• Used to distribute bids and offers at Hubs
• MWs are distributed uniformly to all energized Hub buses in each Hub
• Allows DAM to model bids as MW withdrawals and offers as MW injections
Impact
• Award volumes• DAM prices
Hub Distribution Factors
DAM Clearing Process
Hub
Hub
Hub
Hub
92
Day-Ahead Market Objective:
DAM Clearing Process
Bid-based Revenues Offer-based Costs
Offer-based Costs: Sum [Offer Price * Cleared Offer Quantity]
Bid-based Revenues: Sum [Bid Price * Cleared Bid Quantity]
Maximize [Bid-based Revenues - Offer-based Costs]
In this step, DAM uses Bid Prices and Offer Prices, not clearing prices
93
Why do it this way?
DAM Clearing Process
Objective Value
$/MWh
MW
Bids
Offers
Solution
94
Co-Optimizes Energy and Ancillary Services
DAM Clearing Process
Energy Offers & Bids
Ancillary Service Offers & Self-Arranged Qtys
PTP Obligation Bids
Awarded Energy Offers & Bids
Awarded PTP Obligation Bids
Awarded Ancillary Service
Offers
Day-AheadMarket
Network Operations
Model
95
For HE 1300 ERCOT needs to procure:
DAM Co-optimization
Bids OffersMW Energy MW Energy RegUp RRS
QSE A 2 $25.00 $10.00 $5.00QSE B 2 $30.00 $11.00 $9.00QSE C 1 $50.00
Three QSEs submitted Offers and Bids as follows:
• 1 MW of Regulation Up (RegUp) and; • 1 MW of Responsive Reserves (RRS)
Scenario
96
A Few Potential SolutionsScenario
DAM Co-optimization
Energy RegUp RRS
QSE A $25.00 $10.00QSE B $9.00
Energy RegUp RRS
QSE A $25.00 $5.00QSE B $11.00
Energy RegUp RRS
QSE A $10.00 $5.00QSE B $30.00
Bid-based Revenues – Offer-based
Costs
$50 – $25 – $10 – $9 = $6
Case 1
Case 2
Case 3
Bid-based Revenues – Offer-based
Costs
$50 – $25 – $11 – $5 = $9
Bid-based Revenues – Offer-based
Costs
$50 – $30 – $10 – $5 = $5
97
Determine Energy PriceScenario
DAM Co-optimization
Energy RegUp RRS
QSE A $25.00 $5.00QSE B $11.00
Offers AwardedOffers ProvidedMW Energy RegUp RRS
QSE A 2 $25.00 $10.00 $5.00QSE B 2 $30.00 $11.00 $9.00
• Cost of additional increment of Demand
• How would Day-Ahead Market clear additional MW?
98
Scenario
DAM Co-optimization
Energy RegUp RRS
QSE A 1MW @$25.00 $5.00QSE B 1MW @$30.00 $11.00
Clearing Additional MW of Energy
Offers MW Energy RegUp RRS
QSE A 2 $25.00 $10.00 $5.00QSE B 2 $30.00 $11.00 $9.00
Increases cost by $30
Energy RegUp RRS
QSE A 2MW @$25.00QSE B $11.00 $9.00
Increases cost by $29
Energy Price is $29
99
Scenario
DAM Co-optimization
Clearing Additional Ancillary Services
Offers MW Energy RegUp RRS
QSE A 2 $25.00 $10.00 $5.00QSE B 2 $30.00 $11.00 $9.00
Energy RegUp RRS
QSE A $25.00 1 MW @ $5.00QSE B $11.00 1 MW @ $9.00
Responsive Reserve Price is $9
Energy RegUp RRS
QSE A $25.00 $5.00QSE B 2 MW @ $11.00
Regulation Up Price is $11
100
In summary . . .Three QSEs submitted Offers and Bids as follows:
Scenario
DAM Co-optimization
QSE A sells 1MW of Energy @ LMP of $29 and 1MW of RRS @ MCPC of $9
QSE B sells 1MW of RegUp @ MCPC of $11
QSE C buys 1MW of Energy @ LMP of $29
Bids OffersMW Energy MW Energy RegUp RRS
QSE A 2 $25.00 $10.00 $5.00QSE B 2 $30.00 $11.00 $9.00QSE C 1 $50.00
101
Also clears Energy and PTP Obligations simultaneously
DAM Clearing Process
Energy Offers & Bids
Ancillary Service Offers & Self-Arranged Qtys
PTP Obligation Bids
Awarded Energy Offers & Bids
Awarded PTP Obligation Bids
Awarded Ancillary Service
Offers
Day-AheadMarket
Network Operations
Model
102
• MW injection at Source
• MW withdrawal at Sink
• Clearing requires Transmission Capacity
Modeling of PTP Obligation Bids in DAM
DAM Clearing Process
Source Settlement
Point
Sink Settlement
Point
Energy injection
Energy Withdrawal
PTP Obligation
103
Introducing a simple model ...Examples
DAM Clearing with Energy and PTP Obligations
= Settlement Point
C
D
100 MW
100 MW
100 MWBA
MW = Transmission Capacity
104
Energy Transactions with Transmission Limits
Example 1
DAM Clearing with Energy and PTP Obligations
QSE Product Bid or Offer Location MW Price Award
QSE 1 Energy Offer A 100 $20 90 MW
QSE 2 Energy Offer C 60 $30 0 MW
QSE 3 Energy Bid D 90 $40 90 MW
Bid-based Revenue – Offer-based Cost (Objective Value)
(90 × $40) – (90 × $20) = $1800
(90 × $40) – (30 × $20) – (60 × $30) = $1200
Prices
LMPA = $20 LMPB = $20 LMPC = $20 LMPD = $20LMPDLMPCLMPBLMPA
105
In summary . . .Example 1
DAM Clearing with Energy and PTP Obligations
Result MW Price
QSE 1 sells Energy at A 90 $20
QSE 2 sells no Energy at C 0 $20
QSE 3 buys Energy at D 90 $20
106
Energy Transactions with Transmission Limits and PTP Obligations
Example 2
DAM Clearing with Energy and PTP Obligations
QSE Product Bid or Offer Location MW Price Award
QSE 1 Energy Offer A 100 $20 70 MW
QSE 2 Energy Offer C 60 $30 20 MW
QSE 3 Energy Bid D 90 $40 90 MW
QSE 4 PTP Obl Bid A to B 30 $20 30 MW
Bid-based Revenue – Offer-based Cost (Objective Value)
(30 × $20) + (90 × $40) – (70 × $20) – (20 × $30) = $2200
(10 × $20) + (90 × $40) – (90 × $20) – (0 × $30) = $2000Clear some PTP
Clear all PTP
Prices
LMPA = $20 LMPB = $30 LMPC = $30 LMPD = $30LMPDLMPCLMPBLMPA
107
In summary . . .Example 2
DAM Clearing with Energy and PTP Obligations
Result MW Price
QSE 1 sells Energy at A 70 $20
QSE 2 sells Energy at C 20 $30
QSE 3 buys Energy at D 90 $30
QSE 4 buys PTP Obligations from A to B 30 $10
(Sink – Source)
108
After DAM solves, ERCOT communicates Awards
DAM Clearing Process
Energy Offers & Bids
Ancillary Service Offers & Self-Arranged Qtys
PTP Obligation Bids
Awarded Energy Offers & Bids
Awarded PTP Obligation Bids
Awarded Ancillary Service
Offers
Day-AheadMarket
109
ERCOT must communicate DAM Awards by 1330
ERCOT Activities at 1:30 p.m.
Submit:• Bids & Offers• Self-Arranged AS
Quantities
Update:• COP• AS Trades
Submit:• Bids & Offers• Self-Arranged AS
Quantities
Update:• COP• AS TradesQ
SEAc
tivity
ERC
OT
Activ
ity
DAM DRUC
Publish AS Obligations and system conditions
Begin DAM
Execution
CommunicateDAM
Awards
0600 1000 1330 1430
110
DAM Awards
By 1330, ERCOT Awards… From …
Energy Sales Three-Part Supply Offers & Energy Offer Curves
Energy Sales DAM Energy-Only Offers
Energy Purchases DAM Energy Bids
PTP Obligations PTP Obligation Bids
Ancillary Services Ancillary Service Offers
111
• Day-Ahead Settlement Point Prices by Settlement Point
• Day-Ahead LMPs for each Electrical Bus
• Energy bought and sold in DAM by Settlement Point
• PTP Obligations cleared in DAM by Settlement Point
• Ancillary Services
• Day-Ahead MCPC for each type of AS
• Quantity of AS Offers received in DAM (MW)
• Aggregated AS Offer Curve of all AS Offersfor each type of AS
ERCOT postings for each hour:
DAM Results - Postings
112
• ERCOT monitors Market for errors:
• Day-Ahead MCPCs • Hourly LMPs
• ERCOT “Flags” questionable prices before posting
Finalized Day-Ahead Market Prices
Postings – Finalized Market Prices
DAM Prices are final at 10:00 on the second
Business Day after the Operating Day.
113
Summary of DAM Activities
Submit:• Bids & Offers• Self-Arranged AS
Quantities
Update:• COP• AS Trades
Submit:• Bids & Offers• Self-Arranged AS
Quantities
Update:• COP• AS TradesQ
SEAc
tivity
ERC
OT
Activ
ity
DAM DRUC
Publish AS Obligations and system conditions
Begin DAM
Execution
CommunicateDAM
Awards
0600 1000 1330 1430
Day-Ahead Market Credit Limits
115
• Entity that is also a QSE and/or a CRR Account Holder
• Responsible for managing Available Credit
Introducing ... The Counter-Party
116
The Rest of the Credit Picture
CounterParty
CRRAccount
HolderQSE
Maintains Secured Collateral with ERCOT
Day-Ahead Market
Credit Limit
CRR Auction
Credit Limit
Available credit is shared
117
Available Credit
CreditExposure
UnsecuredCredit
SecuredCollateral
AvailableCredit Counter-Party posts
Secured Collateral to make credit available to
its QSEs and CRR Account Holders
118
Available Credit
UnsecuredCredit
SecuredCollateral
QSE Credit Exposure satisfied by Secured and
Unsecured Credit
Credit Exposure from owning CRRs satisfied
only by Secured Collateral
CreditExposure
CRR CreditExposure
QSE CreditExposure
AvailableCredit
119
ERCOT Calculates Counter-Party’s Available Credit Limit for DAM (ACLD)
Day-Ahead Market Credit Limit
QSE CreditExposureUnsecured
Credit
SecuredCollateral
CRR CreditExposure
AvailableCreditLimit
(ACLD)
AvailableCreditLimit
(ACLD)
Credit lockedfor Auction
QSE gets 90% of ACLD as
DAM Credit Limit
QSE gets 90% of ACLD as
DAM Credit Limit
120
Bids and Offers are checked against Available Credit upon submission
Credit Requirements for Day-Ahead Market
Energy Bids &Offers
PTP Obligation Bids
Ancillary Service Obligations not Self-Arranged
Credit Exposure less than 90% ACLD?
Day-AheadMarket
Accepted in order received
Rejected Bids or Offers may be revised
and resubmitted before 10:00
121
• Energy Bids: Volume * Bid Price
• Energy Only Offers: Volume * (Historical RT – DAM price difference)
• PTP Obligation Bids: Volume * (Bid price + Historical RT exposure)
• AS Obligations: Volume not Self-Arranged * Historical MCPC
In general, Credit Exposure is calculated as follows:
Credit Requirements for Day-Ahead Market
90%
AS Obligations
ACLD
PTP Obligation Bids
Energy Only Offers
Energy BidsNo credit exposure:• Three Part Supply Offers• Ancillary Service Offers
122
• Energy Bids • Exposure may be reduced • Based on recent DAM activity
• Energy Offers • May provide offset • Only for offers likely to be awarded
• PTP Obligation Bid exposure • Reduced for expiring CRRs• Same Source and Sink
In some cases, Credit Exposure may be adjusted
Credit Requirements for Day-Ahead Market
123
e-Factors for DAM Credit Exposure
e-Factor Range of Values Where used
e1• Begins at 1
• Approaches 0 if QSE’s value of cleared offers consistently exceeds cost of cleared bids
Energy Bid Credit Exposure
e2
Default is 0
If Counter-Party requests ”Favorable” e2*:
• Begins at 0
• Approaches 1 if the QSE typically has more cleared bids than cleared offers
Energy Only OfferCredit Exposure Offset
e3 Currently = 1 Energy Only OfferCredit Exposure
* Details in Protocol Section 4.4.10
e-Factors are based on QSE’s Day-Ahead Market Activities for most recent 30 days
124
Exposure Price = Bid Price, when e1 = 1= P85(DASPP), when e1 = 0
When Bid Price > 85th percentile of recent DASPPs:
Credit Adjustments for Energy Bids
$26
$28
$30
$32
$34
$36
$38
$40
$42
$44
$46
$48
$50
Occ
urre
nces
P85(DASPP) = 85th percentile of hourly DASPP for the previous 30 days
125
Exposure Price = e3 * P90(Max[0, RTSPP-DASPP])– e2 * P45(DASPP)
When Offer Price ≤ 50th percentile of Recent DASPPs:
Credit Adjustments for Energy Only Offers
$26
$28
$30
$32
$34
$36
$38
$40
$42
$44
$46
$48
$50
Occ
urre
nces
Exposure reduction may offset other QSE
exposure in DAM
126
When Offer Price ≤ 45th percentile of recent DASPPs:
Credit Adjustments for Three Part Supply Offers
Applies to each MW portion of
Energy Offer Curve$2
6$2
8$3
0$3
2$3
4$3
6$3
8$4
0$4
2$4
4$4
6$4
8$5
0
Occ
urre
nces
Overall exposure reduced by (Offer MW) * P50(DASPP)
127
For a given hour in DAM . . .
Credit Adjustments for PTP Obligation Bids
BASource Sink
CRR Settles for CRR Account Holder
QSE submits PTP Obligation Bid
= 90% of Bid Price * (Min[Bid MW, CRR MW])Exposure Reduction
128
DAM Credit Reports on Market Information System
DAM Aggregate Credit Exposure
Posted after each DAM
DAM Remaining Available Credit Limit
Posted every 15min before DAM
129
Finding Credit Reports on MIS
Day-Ahead Market Financial Impacts
131
DAM determines optimal clearing of Bids and Offers
Day-Ahead Market Financial Impacts
Energy Offers & Bids
Ancillary Service Offers & Self-Arranged Qtys
PTP Obligation Bids
Awarded Energy Offers & Bids
Awarded PTP Obligation Bids
Awarded Ancillary Service
Offers
Day-AheadMarket
132
Day-Ahead Market Energy and AS Settlements
Day-Ahead Market Financial Impacts
Awarded Energy Offers & Bids
Awarded Ancillary Service
Offers
Awarded Energy Offers & Bids
Awarded Ancillary Service
Offers
Awarded PTP Obligation Bids
Hourly Settlement = Price * Quantity • Price: Settlement Point Price (SPP)• Quantity: Awarded MW
Hourly Settlement = Price * Quantity• Price: Market Clearing Price for Capacity
Quantity: Awarded MW
Awarded PTP Obligation Bids
Hourly Settlement = Price * Quantity• Price: SPPsink – SPPsource
• Quantity: Awarded MW
133
• DAM Clearing Engine produces LMPs
• Settlement Point Prices formed from LMPs
Settlement Point Prices (SPPs)
DAM Energy Prices
Resource Nodes
Load Zones
Hubs
Resource Node SPP = LMP
Load Zone SPP = Load-weighted Ave (LMPs)
345 kV HubSPP = Simple Ave (HUB bus LMPs)
… calculated for each hour
134
MCPCRU – Regulation-Up
MCPCRD – Regulation-Down
MCPCRR – Responsive Reserve
MCPCNS – Non-Spin Reserve
Each Ancillary Service has a Separate Market Clearing Price for Capacity (MCPC)
DAM Ancillary Service Prices
ERCOT System
… calculated for each hour
135
Two parts to Day Ahead Make-Whole Settlements:
Day-Ahead Make-Whole Settlements
Day-Ahead Make-Whole
Payment
Day-Ahead Make-Whole
Charge
136
Why Make Whole Payment?
Day-Ahead Make-Whole Settlements
• LMPs and MCPCs represent incremental costs
• May not cover Startup and Minimum Energy Costs
137
Day-Ahead Make-Whole Payment
Energy Revenue+
AS Revenue
$Incremental Energy Costs
Minimum Energy Costs
Startup Costs
Revenues Received Costs Incurred
DAM Guaranteed Amount
138
What if revenues are less than costs?
Day-Ahead Make-Whole Payment
Make-Whole Payment
Energy Revenue+
AS Revenue
$Incremental Energy Costs
Minimum Energy Costs
Startup Costs
Revenues Received Costs Incurred
Resource must run to be eligible
139
Make-Whole Charge allows Revenue Neutrality
Day-Ahead Make-Whole Settlements
Day-Ahead Make-Whole
Payment
Day-Ahead Make-Whole
Charge
140
Charged to each QSE with cleared bids
Day-Ahead Make-Whole Charge
*( ) ( )Total DAM Make-Whole Payments ERCOT - Wide
DAM Energy PurchaseRatio Share
OR
*( ) ( )Total DAM Make-Whole Payments ERCOT - Wide
A QSE’s DAM Energy Purchase
Total DAM Energy PurchasesERCOT - Wide
141
Calculating Make-Whole ChargesScenario
Day-Ahead Make-Whole Charge
• Total DAM purchase: 100 MW
• Total Make Whole: $100
QSE Name QSE DAM Purchase
QSE DAM EnergyPurchase Ratio
Share
QSE Day-Ahead Make-Whole Charge
QSE 1 20 MW 20 MW / 100 MW $20
QSE 2 40 MW 40 MW / 100 MW $40
QSE 3 10 MW 10 MW / 100 MW $10
QSE 4 30 MW 30 MW / 100 MW $30
142
• Payments due and Charges incurred
• Posted to MIS Certified Area
Day-Ahead Market Settlement Statements
Settlement Timeline
OperatingDay
Day 2Day Ahead
DAM Statement
Day 1
143
• The timeline and purpose of the Day-Ahead Market
• Various inputs into the Day-Ahead Market
• Submittal requirements for the Day-Ahead Market offers and bids
• The Day-Ahead Market clearing process
• Charges and payments associated with the Day-Ahead Market
You have learned about:
Module Summary
Module Conclusion