Principles of Flowbased Market Coupling - creg. · PDF filePrinciples of Flowbased Market Coupling. ... • Difference between ATC & FB method • Flowbased Parameters ... P. Schavemaker

Commissie voor de Regulering van de Elektriciteit en het Gas

Commission pour la Régulation de l’Electricité et du Gaz

Patrick Luickx, Alain Marien

CREG Workshop, Brussel

16 June 2014

Principles of Flowbased Market Coupling

CONGESTION MANAGEMENT

• Congestion Management

• Difference between ATC & FB method

• Flowbased Parameters

• Critical Branches

• Generation Shift Keys

• Margins on the CB

• Impact of FBMC on neighbouring countries

• ATC determination from FBMC

• Welfare FBMC < welfare ATC MC

316 June 2014 Principles of FBMC

Congestion Management

• 2-step process– Step 1 - Base Case:

Determination of the physical flows present in the

transmission network and pre-existing to the cross-border

allocation process receiving priority access to capacity

• Exchanges internal to one zone

• Exchanges between CWE and non-CWE country

– Step 2

Determination of remaining available cross-border

capacities

Capacity Calculation

Step 1 – Base Case remains the same in FBMC



• Kirchhoff laws

– Physical flows ≠ Commercial

exchanges

– Depending on PTDF

– Loop flows

• Commercial exchange

– 100 MW node 1 to node 4

• Resulting physical flows:

– 75 MW through line 14

– 25 MW through line 12, line

23 and line 34


25 MW75 MW

4 3

21

C

BA

Load: - 100 MW

Generation: + 100 MW

25 MW

25 MW



• Power Transfer Distribution Factor (PTDF)

matrix

– Interpretation: a 1 MW transaction from node 2 to 1

results in a 0,25 MW additional flow on line L34

– Calculation: PTDF 2 3 = PTDF 2 1 – PTDF(3 1)


Transactions (node to hub)

Line 1 1 2 1 3 1 4 1

L12 0 -0,75 -0,5 -0,25

L23 0 0,25 -0,5 -0,25

L34 0 0,25 0,5 -0,25

L41 0 0,25 0,5 0,75



• Internal exchange in

country B assumed in

base case

– 1333 MW commercial

exchange from node 2 to 3

• Physical flows:

– 1000 MW in line 23

– 333 MW (loop-flow) in lines

21, 14 and 43

Capacity Calculation – Step 1: Base Case

1000 MW333 MW

L14 MAX = 500

4 3

21

C

BA

1333 MW

1333 MW



• Remaining ATC capacity on line

L14

– 500 – 333 = 167 MW

– New ATC country A to C:

167/0.75 = 223 MW

– Minus arbitrary margin• To cover simultaneity with other

exchanges

• Remaining FB capacity on

critical branch L14

= Flowmax – Flowstep1 – margin

Cf. infra:

RAM* = Fmax - Fref - FRM

* Remaining available margin

Capacity Calculation – Step 2

223 MW

4 3

21

C

BA

Max 223 MW

Max: 223 MW

loopflow: 333 MW

Step 1

L14 MAX = 500

Step 2

L14 MAX = 223 167 MWloopflow: 56 MW

DIFFERENCE BETWEEN

ATC & FB METHOD











Difference between ATC & FB

• ATC based market coupling– TSOs give ex-ante defined capacity to the market for

allocation

– Ex ante margin on capacities

• Flowbased market coupling– Capacity calculation and allocation at the same time

– If well-implemented FB, market decides on the repartition of

commercial capacity over network

• Relationship between commercial capacity on network determined

by TSOs via CB, GSK and FRM (see further)

• Example on next slide– Source: P. Schavemaker & M. Aguado, CWE flow-based workshop, European cross border power

trading forum, 16-06-2010


Step 1- TSO: I split export

1 MW A=>B and 3 MW A=>C

Step 1 - TSO: I split import

3 MW A=>B and 1 MW C=>B

Step 1: TSO: I split

import 1 MW A=>C, 2 MW B=>C,

and export 1 MW C=>A, and 2 MW C=>B

Bidding Area C

Bidding Area B

Bidding Area A

Bidding Area B

1 MW

1 MW

1 M

W

Bidding Area C

Bidding Area B

Bidding Area A + 4 MW

- 3 MW

-1 MW

=> TSOs supply to market physical limits of their grid without splitting per border => full optimized: capacity be used to reach optimal solution

Step 2 - Market Parties:

optimal is export 4 MW but only 2 MW has

been accepted => optimal wellfare

solution is not possible

Step 2 - Market Parties: optimal is to import 3 MW

but only 2 MW has been accepted => optimal

wellfare solution is not possible

Step 2 - Market Parties: optimal is import 1 MW

but 0 MW has been accepted => optimal

wellfare solution is not possible

Step 2- Market Parties:

With SoS and orderbooks I am able to

optimize the usage capacity => optimal

wellfare solution where we export 4 MW is

OK for the grid


optimal wellfare solution where we import 3

MW is OK for the grid


optimal wellfare solution where we import 1 MW

is OK for the gridTSO: max export is 4 MW. TSO: max export is 4 MW. Step 1–TSO: We do no split anymore capacity between

border => we give to market our common Security of

Supply domain in order that the market decide how to

use it in an optimal way

1 MW1 MW1 MW

1 MW

=> TSOs must split per border the available commercial capacity before knowing bidding => not optimized: capacity remain available and optimal solution is not reached

+ 2 MW

-2 MW

0 MW

BAD CHOICE !

=> the market do not need this


Difference between ATC & FB

• Euphemia Market Coupling Algorithm

• ATC algorithm constraint

• FBMC algorithm constraint

FLOWBASED PARAMETERS











Flowbased parameters

• 3 main elements in FMBC

– Critical Branch (CB)

– Margin

• Flow Reliability Margin (FRM)

• Final Adjustment Value (FAV)

– Generation Shift Key (GSK)

• Source of many discussions at CWE level

• Design of these parameters have significant

impact on market outcome

CRITICAL BRANCHES











Critical Branches (CB)

• Definition:

– Existing branches in the regional grid

– Significantly impacted by the regional cross-border trade

– Both under normal grid situations as well as outage

condition (N-k).

• General rule: threshold value to include as CB

– Maximum zone-to-line PTDF-factor is larger than a certain

threshold include line as CB:

• Regional crossborder trade (between two zones) with largest impact

on a certain existing line needs to have impact larger than 5% for the

line to be considered a CB

– However, individual TSO has final say in inclusion of CB

15



Exchange AB

Exchange AC

Physical constraints Critical Branches (chosen by TSOs)

Binding Critical Branches

Security Domain

Market clearing point

Active constraint



Influence of CB on Price

Choice of CB influences the prices

• CB determines constraints in the Market

Coupling algorithm

• Constraints impact welfare and prices



• FB allocation = Optimisation under constraints

corresponding to RAM:

RAM = Fmax - Fref - FRM – FAV

RAM = remaining available margin

Fmax = maximum allowable flow (thermal line capacity)

Fref = physical flow resulting from base case

needs to be adjusted for LT nominations

FRM = flow reliability margin

FAV = Final adjustment value

18

GENERATION SHIFT KEYS











Generation Shift Key (GSK)

• GSKs are coefficients determining generation

shifts under FB– Indicate which units participate to a power shift between zones

– Describes the contribution of a generation unit node to this

power shift

• Each TSO selects units most likely impacted by

market movements, to be part in GSK set

• GSK serves for calculating zone-to-line PTDF

from the node-to-line PTDFPTDFzone-to-line = PTDFnode-to-line ⋅ GSK

Principle



• In practice, contribution of generation unit to power

transfer is unknown at calculation time

– Circular problem

• GSKs determination = weak point of capacity

calculation methods

– Also valid for NTC, where less transparent

• GSK should be based on best forecast of the

contribution of generation units to a power transfer

Principle



• Example for trades between zones A, B and C

– Under different GSK assumptions

– PTDFzone-to-line constructed

– Different impacts on lines analysed

• All lines are CBs

From node-to-line to zone-to-line PTDF

PTDF (node to line)

Line 1 1 2 1 3 1 4 1

L12 0 -0,75 -0,5 -0,25

L23 0 0,25 -0,5 -0,25

L34 0 0,25 0,5 -0,25

L41 0 0,25 0,5 0,75

GSK: x%

GSK: (100-x) %



• Interpretation of highlighted PTDF:

– A 1 MW commercial exchange from zone B to zone A with

uniform repartition of GSKs leads to 0,625 MW additional

physical flow on line L12 (in direction node 2 to node 1)


PTDF zone to line

Line B A B C C A

L12 -0,625 -0,375 -0,25

L23 -0,125 0,125 -0,25

L34 0,375 0,625 -0,25

L41 0,375 -0,375 0,75

GSK: 50%

GSK: 50%




PTDF zone to line

Line B A B C C A

L12 -0,75 -0,5 -0,25

L23 0,25 0,5 -0,25

L34 0,25 0,5 -0,25

L41 0,25 -0,5 0,75

GSK: 100%

GSK: 0%

PTDF zone to line

Line B A B C C A

L12 -0,5 -0,25 -0,25

L23 -0,5 -0,25 -0,25

L34 0,5 0,75 -0,25

L41 0,5 -0,25 0,75

GSK: 0%

GSK: 100%

Notice important difference in PTDF due to GSK choice of TSO in zone B



• If line L34 is the congested line

– It makes a large difference whether a trade B C has a

PTDF (i.e. impact on flow) of 75% or 50%

• The selection of GSKs made by TSO B has a large

impact on the profitability of A to C exchanges

• Even more apparent with more complicated example

– see next slide


TSO choice of GSK greatly impacts PTDFzone-to-line

which in turn impacts CB choice, prices and CR


d

5

2

6

3

9

A

C

D

B


PTDF (in %) of zonal

exchange on line d

Changing GSKs

Impact of GSK choices on transfer between zones

With changing GSKs in zone B,

PTDF impact of exchange BC

changes dramatically

20%

0%

40%

0%

40%

20%

13,4%

x%

26,6%

30% 30%

10% 10%

17,9%

25% 25%

15% 15%

13,6%9,3%

20% 20%

20% 20%

5,0%

15% 15%

25% 25%

0,7%

10% 10%

30% 30%

* Source & background : A. Marien, FB

Implementation Challenges, 11 June 2011,

Brussels

Compare power exchange

B C to exchange A D

on the use of line d



• Remember: For a line to be considered a CB, a

certain PTDFzone-to-line threshold value needs to be

reached

– If threshold in example is set at 60%, line L34 would be a

CB with some GSK choices, and not with other choices

• Any GSK % in node 2 < 60% line L34 becomes CB

– Note: normal threshold values in CWE rather around 0-10%

Impact of GSKs on CBs

GSK choice defines which lines become CB



• PTDFzone-to-line is GSK-dependent (see above)

• Electricity prices are PTDFzone-to-line -dependent

– With a given P(C) and P(B), P(A) will depend on

PTDFBC on L34

Impact of GSKs on prices

Electricity prices are GSK-dependent

priceShadowPTDF

APCP

PTDF

BPCP

LonCALonCB

3434

)()()()(



• Two issues for GSK determination

1. Which power plants participate?

• Market driven & flexible plants

• Gas/oil, hydro, pumped-storage & hard coal

• Exception: nuclear units if not enough flexible generation

2. How to estimate output level of these plants?

• Which % of output attributed to power plant

• “Plain” method for FR & DE

– Uniform for Amprion, TenneT GE

– According to base case % for RTE

• Linear interpolation method for BE & NL (see next slide)

GSK in CWE FBMC



GSK linear interpolation method for BE & NL

MaxImport

ImportPosition

ExportPosition

0Max

Export

GSK

Generator MW Dispatch

According toReferenceProgram

The GSK for each

generator equals the

gradient of the line in

between the MWs

produced at a max

import and MWs

produced at a max

export position

The MWs produced by

each generator,

according to the

import/export position of

the Reference Program

and the GSK, is reflected

in the TSO’s D2CF file

update D2CF file

MARGINS ON THE CB











Margins on the CB

• RAM = Fmax - Fref - FRM – FAV

• Margins:

– Flow Reliability Margin (FRM)

– Final Adjustment Value (FAV)

– “Special” critical branches

• Explicit additional constraints in the algorithm

• Reflect uncertainty

Different types of margins


Margins on the CB

• Represent operational skills ans experience that

cannot be introduced in FBMC

– Non-automated part of the process

• Link with Remedial Actions (RA)

– Explicit RA

– Implicit RA FAV introduced in RAM formula

• Monitoring by NRAs

Final Adjustment Value (FAV)


Margins on the CB

• Negative FAV:

– Increases the RAM

– Linked to complex remedial actions

• Positive FAV

– Reduces the RAM

– Security reasons

Final Adjustment Value (FAV)


Margins on the CB

• Additional constraints that are not normal CBs

– E.g.: import / export limitation for entire zone

• To guarantee secure grid operation

– Avoid market results with stability problems

• Voltage stability

– Avoid market results too far away from reference

flows

“Special” critical branches


Margins on the CB

• TSOs determine FRM on the basis of observations

Flow Reliability Margin (FRM)


Margins on the CB

• Purpose of FRM

– Hedge against uncertainties linked to capacity

calculation methods (forecast errors, model

approximations...)

• Locational uncertainty as important factor

• Lower FRM for smaller zones

– Hedge against uncertainties linked to non-CWE

exchanges

– Hedge against variability of exchanges linked to

load-frequency adjustments

Flow Reliability Margin (FRM)

IMPACT OF FBMC ON

NEIGHBOURING COUNTRIES











Impact on neighbouring countries

• FBMC will often result in different CWE price

formation than ATC in case of congestion

– Other price difference and other CR on all borders, also with

non-CWE countries

General Impact

CWE – non-CWE borders capacity determination

remains input for the base case determination

Capacity in neighbouring zones and on

interconnections of CWE with neighbouring

zones influences CWE CBs


Rough FBMC

• ATC value with neighbours

taken into base case

– Most constraining case as margin

– Priority for ATC with neighbours

• Advantages:

– No differences in prices on two

sides of ATC with neighbours

– Always intuitive situations on DC

cables

• Proposed for FBMC go-live

Advanced FBMC

• Influence ATC with neighbours

included in allocation

– Algorithm internalises these ATCs

– No priority for ATC with neighbours

vs. CWE FB transaction

• Advantages:

– No need for ex-ante capacity split

over borders: from priority access

to integration in welfare max.

– More data exchange

• Can be handled by Euphemia

Impact on neighbouring countries

Rough & Advanced FBMC

ATC DETERMINATION FROM

FBMC











ATC determination from FBMC

• NTC values derived from FBMC are needed for

several purposes

– ATC value for ID trade

– ATC value for shadow auctions

• Fallback mechanism

• As today

Need for NTC derived from FBMC



• After the implementation of FB DA, the logical next

step will be the development of FB ID

• Till then, the same basic principle as today:

– capacity left after DA stage = initial input for ID stage

ATC calculated from FBMC for ID

1) FB domain before the DA FBMC

44

-400

-300

-200

-100

0

100

200

300

400

-400 -300 -200 100 200 300 400-100 0

Exchange(A>C)

Exchange(A>B)


2) FB domain after the DA FBMC



-400

-300

-200

-100

0

100

200

300

400

- 400 -300 -200 100 200 300 400-100 0

Exchange(A>C)

Exchange(A>B)

-400

-300

-200

-100

0

100

200

300

400

- 400 -300 -200 100 200 300 400-100 0

Exchange(A>C)

Exchange(A>B)

3) ID ATC taken from the FB domain


-400

-300

-200

-100

0

100

200

300

400

- 400 -300 -200 100 200 300 400-100 0

Exchange(A>C)

Exchange(A>B)


• Fixed rule is applied to

determine the ATCs

from the FB domain

• Rule chosen from

different alternatives

available


Initial value

IDATC(A>C)



• ATC for (explicit) shadow auctions via CASC in fallback

• Fallback situation may occur at two different steps in

the process:– Possible (future) alternatives to cope with incident in pre-coupling

• No partial coupling inside CWE

ATC calculated from FBMC for shadow auctions

Pre-Coupling Coupling Post-Coupling

IncidentIncident

Examples:• Market data not

generated• Algorithm/system fails• Technical validations

“non-compliant”

Examples:• Technical failure of tools• Corrupted or missing

input data



ATC calculated from FBMC for shadow auctions

DA FB

domain

LTA domain

ATC for SA

domain

Stepwise increase through equal split of remaining

margins

• Similar approach to the ID

ATC computation:

– start from LT allocations

– Remaining CB margins equally

split between four borders and

then transformed into ATC via

PTDFs.

– Iterative process (all CB’s

margins will not be exhausted

simultaneously) stops when the

difference between two steps

becomes inferior to a given

threshold

WELFARE FBMC <

WELFARE ATC MC











Welfare FBMC < welfare NTC

• ATC clearing point sometimes out of FB domain

– On average 1 out of 5 times

– Some FB CBs would be overloaded by the

exchanges generated by the ATC MC solution

• This can lead to FBMC welfare < ATC MC welfare

• CWE TSOs explanation

– Such cases can happen without contradicting the

consistency of risk policies applied by TSOs

– Global risk policies which are strictly equivalent in

ATC and FB

ATC domain outside FBMC domain


Welfare FBMC < welfare NTC

• Link to RA application

– Different impact in ATC and FBMC

ATC domain outside FBMC domain

Extension of the FB domain

thanks to « explicit »

consideration of RA

Extension of the ATC

domain thanks to « implicit »

consideration of RA

« FB clearing point »,

allowing increased

exchanges

ATC Clearing point,

overloading the FB

constraint in red.

Documents

Principles of Flowbased Market Coupling - creg. · PDF filePrinciples of Flowbased Market Coupling. ... • Difference between ATC & FB method • Flowbased Parameters ... P. Schavemaker