RE: [emix] Definition of a "Price Interval"

Phil raised the concept of monetary price interval - one application is in options trading:

Strike price interval

The normal price differential between option strike prices. Equity options generally have $2.50 strike price intervals (if the underlying stock price is below $25), $5.00 intervals (from $25 to $200), and $10 intervals (above $200). LEAPS generally start with one at-the-money, one in-the-money, and one out-of-the-money strike price. The latter two are usually set 20%-25% away from the former.

I think we are in agreement that Interval we use is defined by a start time and end time and if there is any ambiguity in use of the term Interval we can call it a Time Interval when necessary.

A dictionary definition of Interval relating to time is

a space of time between events or states

Which works, I think.

Edward G. Cazalet, Ph.D.

101 First Street, Suite 552

Los Altos, CA 94022

650-949-5274

cell: 408-621-2772

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From: Girish Ghatikar [mailto:GGhatikar@lbl.gov]
Sent: Saturday, April 03, 2010 5:29 PM
To: emix@lists.oasis-open.org
Subject: Re: [emix] Definition of a "Price Interval"

Phil,

Thanks for bringing this up and I think this is the issue with terminologies and NOT the concept of use of time for intervals.

Based on my interactions during technology integration of CAISO real-time market (RTM) with OpenADR, we have seen that intervals could be used in different contexts. What you have is a definition of "price intervals" is one element. For example, for CAISO, under "prices" on -- http://oasis.caiso.com/mrtu-oasis/ -- the intervals are used for time, price, etc. as seen below by definitions.

"Interval Locational Marginal Prices: Five-minute Locational Marginal Prices for all PNodes and all APNodes in $/MWh, for each five-minute interval RTM. Posts the LMP, plus the Congestion, Loss and Energy Components that makes up the LMP."
"Interval AS Clearing Prices: Ancillary Services Regional Shadow Price for all Ancillary Service types for all binding AS Regions and Sub-Regional Partitions. Posts 15-Minute price relevant to the next 15 minute binding interval for RTM on a fifteen minute basis."

While I think the "monetary interval" you have is one important element for DR, other element is also the "time interval." For example, the time interval will determine the end-uses that could be part of DR strategies and for what duration (or not). The length (time) and the breadth (kW) are equally important. The price will determine their willingness to participate and time will determine if they can and by how much. This was also one of the thing we looked at the recently concluded participating load pilot (PLP) that we conducted with CAISO (see below).

Open Automated Demand Response Communications in Demand Response for Wholesale Ancillary Services
Kiliccote S., M.A. Piette, G. Ghatikar, Lawrence Berkeley National Laboratory; E. Koch, D. Hennage, Akuacom; J. Hernandez, A. Chiu, O. Sezgen, Pacific Gas and Electric Company; and J. Goodin, California Independent Systems Operator. In the Proceedings of the Grid-Interop Forum 2009, Denver, CO, November 17-19, 2009. LBNL-2945E. November 2009
http://drrc.lbl.gov/drrc-pubs-auto-dr.html

Moving forward, I think we should acknowledge this and be clear of terminologies that are in use and have a certain meaning -- they should retain their meaning as much as possible.

Thank you,
Rish

Phil Davis wrote:

Keep in mind that when the ISO's refer to price interval in their reports and analysis documents, they are referring to a monetary interval rather than a time based interval. In other words, there is a $15 price interval between an LMP of $45/mwh and $60/mwh. Most usage in analysis is asks questions like "at what price interval do large facilities respond to DR signals". These kinds of studies influence incentives and subsidies, and may inform rate making in regulated constructs. However, in the markets, the actual prices themselves are known well in advance of Dr events since they are set at auctions.

When modeling/forecasting for grid operations, the ISO's will use this research to determine the likelihood of calling an event and the cost of that event, given weather predictions at various degrees of confidence (of the weather). Because of the usage, I would reverse the wording somewhat; i.e., that for a given time interval, there should be a price associated with it. Recipients would use this data, especially in automated systems either to auto respond or to signal managers if prices exceeded a pre-set level.

This happens to be a period of rapid rules change following a relative period of stability. Predictions are troublesome at best, but there seems to be a national trend toward eliminating specific pricing for DR, and paying all parties the generation equivalent of the energy product produced. this is not without controversy, so our wisest course might be to allow for showing prices for DR and for the underlying energy. This would support a value calculation that encompasses both the overt value of DR plus the value of the avoided purchase of energy for the same time interval.

Phil Davis

From: Girish Ghatikar [mailto:GGhatikar@lbl.gov]
Sent: Friday, April 02, 2010 8:06 PM
To: emix@lists.oasis-open.org
Subject: [emix] Definition of a "Price Interval"

This came up during last week's eMIX TC meeting -- What is the definition of price interval? What elements/attributes are comprised in it?

For any price, there should be a standard "Time" factor associated with it (unless the exception is there is "one" price for all periods).

I think we should make a key distinction of price schedule versus the interval (if we ever can) and how the generic price intervals are different from their definition in DR signals (the notion of DR events).

Let's say for example, a price-responsive DR event in OpenADR may look something like this (I am not saying this is how eMIX should address it as the goal of sending the information and subsequent response may differ) --

        <p:drEventData>
           <p:notificationTime>2010-02-08T15:17:21.000-08:00</p:notificationTime>
            <p:startTime>2010-02-09T00:00:00.000-08:00</p:startTime>
            <p:endTime>2010-02-09T23:59:59.000-08:00</p:endTime>
            <p:eventInfoInstances>
                <p:eventInfoTypeID>PRICE_ABSOLUTE</p:eventInfoTypeID>
                <p:eventInfoName>price</p:eventInfoName>
                <p:eventInfoValues>
                    <p:value>0.03638841</p:value>
                    <p:timeOffset>0</p:timeOffset>
                </p:eventInfoValues>
        </p:eventInfoInstances>
        </p:drEventData>

What you see above is a definition of time slot (start and end time) that has various attributes associated with it. Other attributes could be for example, load shed, % shed, etc. However, all of these attributes are associated with one time-slot notion, which is defined by the period of DR event.

Thank you,
RIsh

Rish Ghatikar
Lawrence Berkeley National Laboratory
1 Cyclotron Road, MS: 90-3111, Berkeley, CA 94720
GGhatikar@lbl.gov | +1 510.486.6768 | +1 510.486.4089 [fax]

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Rish Ghatikar
Lawrence Berkeley National Laboratory
1 Cyclotron Road, MS: 90-3111, Berkeley, CA 94720
GGhatikar@lbl.gov | +1 510.486.6768 | +1 510.486.4089 [fax]

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