Looming Issues in CTS - Editors notes

["Considine, Toby" <Toby.Considine@unc.edu>]

Editor’s notes on WD14 big issues 

1. Granularity of Prices in Tenders needs careful review, standing between granularities as now correctly (or no one has yet complained) for Streams and in Market Characteristics (see PRICE_GRAIN). I have created issue 738 for this. 
2. There is some “smeared” concepts in market information stemming from some terms whose common usage in power markets are imprecisely defined. See below 

 

Market Smear 

There is a Load Curve which names either how much power is used over time, or how much power is projected to be used over time. 

There are various mechanisms indicating that “if power is cheap, I will but this much, but if it is expensive, I will buy that much”. In TE power markets, this is sometimes called a demand curve, but this term does not imply any particular bidding or market matching behavior. Hammerstrom observes this and uses the term Price sensitivity in his comments. I think this violates CTS by pushing a Persona into the Marketplace. An Actor may have price sensitivity, but that sensitivity is expressed through separate tenders.  

Every actor beyond a certain minimal level of complexity can and will try to game the market, that is, to get the most advantage for the lowest price. Consider, as we have often done in EI, the interaction with the used car dealer. The buyer would never go into the dealer and state the maximum price he would be willing to pay. The salesman will never start by announcing the minimum price he is willing to accept. Negotiations ensue as each Party attempts to get the most advantageous, to himself, terms. 

We have often used the term “double auction” without any particular precision or definition. There are some common notions. All tenders to sell are sorted by ascending price, and a running total of total available product is computed alongside this sorted list. All tenders to buy are sorted by descending price, and a running total of total available product is computed alongside this sorted list. A line is drawn through each of these lists where price and running total match for these lists. Every tender above these two lines is matched, and all transactions are generated at the single matching price. 

The assumed characteristics, then, are 

1. Scheduled evaluation or many tenders. This schedule could be once (“two hours before dispatch”) or periodic (“every 15 minutes”) 
2. This double auction matching mechanism could be “instant”, i.e., the [buyer] submits multiple tenders simultaneously and the entire bundle is evaluated AS IF in a scheduled double auction. 
3. The transactions resulting from this match will all receive the same prices. 

The market participant may “game” this in standard ways. A Buyer may offer a price far higher than he is willing to pay for an aliquot of energy necessary to keep his facility operational, confident that it will be “in the money”, but that he will have to pay only the matching price, not the too-high price submitted. Similarly, a generator that wishes to keep a generator running between to existing temporal positions, or to support a minimum run-time, may submit a tender of “free”, confident the matching price will be something else. These are just examples of strategies a party buying or selling might use if it knows that this type of matching is used.  

Similar strategies may apply even if no actual double auction is used. This notion of a cumulative bid is one of the Market Characteristics we should name. 

Note that even if there is a single buyer who has submitted a single large bid (in quantity) at a single private price, this sort of cumulative bidding by the single buyer may be useful. 

The flip side of this cumulative bid is the individual tender.  Each Tender is placed the Market’s Order Book, and stays there until it matches, or it expires, or it is cancelled. Tenders are generally sorted by price and time of submission—two tenders to sell at the same price are matched with a tender to buy based on FIFO order. If the tender to buy is not big enough to require both tenders to sell, the first submitted tender wins. If the tender to buy is not completely fulfilled for by the first match, the matching engine would then evaluate the second tender to sell.  

Note that a salient characteristic this type of market is that a party submitting a single tender may get in response multiple transactions at different prices. 

Hybrid forms are possible. One *could* submit a set of priced tenders as if to a double auction with a request that they be handled now, as if to a double auction. 

One of the reasons expiration matters, auction time matters, not previously discussed is that a party intending to buy needs to know when to panic. If I need power at 4:00, and the double auction is scheduled for 3:00, then at 2:00, the party has not yet acquired any power for 4. On the other hand, at 3:00, with no transactions in hand, the Party need consider how high it will offer to get essential minimum power… 

If there are scheduled periodic matches, there is different information that needs to be communicated about the matching schedule. Consider a market for one hour Instruments. The periodic market match could be 30 minutes before the beginning of the Interval, or 2 hours. This can be communicated by a Duration of T30M (or if T2H). In this way, the schedule for each instrument can be computed across many Intervals. 

Consider a similar market, in which a regional load serving entity manages an double auction as a day-ahead market. Perhaps that market closes at 3:00 PM, to permit contracted generators to plan operations. This periodic market could be scheduled instead with a time, as in 15000.  

Questions: 

Can one submit a AON request as part of a cumulative bid. If so, what does it mean? I think it should apply only to the last tender to match, and not to the entire set. 

Can one cancel part of a Cumulative bid prior to the match? I think cancel all or cancel none. 

If the Cumulative bids have been processed, and a Party is out of the money, and so tries to additional power by advertising a higher price, is that in the same market or in a different market within the marketplace?