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Nodal Day-Ahead Market

Update

Special NATF Meeting July 19, 2010

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Outline of Discussion

•Day-Ahead Market Design/Processes/Procedures

•Key DAM Integration (model, contingencies, LDFs)

•DAM configuration (shift factor cutoff, use of shadow price caps)

•Software and Data issues and impacts

•Other deliveries (Redacted Model, NPRR206 eFactor values)

•DAM Analysis• Analysis of July 15, 2010 DAM• Some case analysis for previous DAM

Agenda

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Objective of Workshop today

• Focus on quality of solution:

• Shared understanding of design, process, integration

• Feedback from market on observed issues (software and data)

• How to improve/leverage market trial activities and scenarios

• Out of scope for workshop

• Debates on implemented design

• Significant changes in reporting of results

Meeting Objective

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DAM Design/Processes/Procedures

• Section 4 Nodal Protocols Day Ahead Operations

• http://nodal.ercot.com/protocols/index.html

• MMS Business Requirements and Conceptual System Design

• http://nodal.ercot.com/docs/pd/mms/index.html#req

• http://nodal.ercot.com/docs/pd/mms/index.html#des

• DAM Operating Procedures

• http://nodal.ercot.com/readiness/markettrials/dam/index.html

DAM Design/Process/Procedures

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DAM Procedure Summary

•0600 DAM Operator validates posting

•0700 Phase 2/Credit Validation

•1000 DAM submissions closed

•DAM sub-process summary: (next slide)

DAM Design/Process/Procedures

I. Day-ahead market – clearing process

Execute DAMExecute DRUC

Execute Ancillary Service Insufficiency Check

Execute PTP Options Derating

Execute DAM Clearing Engine

Midnight 0600 1000 1430 1800

Communicate DAM Results

Execute CRR Simultaneous Feasibility TestCalculate and Post AS Obligation

Validate Inputs from QSEs

Day-Ahead

• Calculate and assign AS Plan quantity to each QSE based on Load Ratio Share.

• Calculate and assign AS Plan quantity to each QSE based on Load Ratio Share.• Validate inputs from QSEs

including Offers, Bids, Trades, Schedules (Self-Schedules and DC Tie Schedules), and Self-arranged AS.

• Validate inputs from QSEs including Offers, Bids, Trades, Schedules (Self-Schedules and DC Tie Schedules), and Self-arranged AS.

• Evaluate all CRRs using the Day-Ahead hourly Network Model.

• Evaluate all CRRs using the Day-Ahead hourly Network Model.• Determine, prior to clearing the DAM, if there are sufficient AS offers to meet the AS requirements.

• Determine, prior to clearing the DAM, if there are sufficient AS offers to meet the AS requirements.• Derate CRR Options

declared for Real-Time settlement for the purpose for DAM clearing.

• Derate CRR Options declared for Real-Time settlement for the purpose for DAM clearing.• Post-process the outputs of DAM Clearing Engine, and • Publish and communicate the DAM results to Settlement and MIS.

• Post-process the outputs of DAM Clearing Engine, and • Publish and communicate the DAM results to Settlement and MIS.

• Determine Unit Commitments, Energy, AS and CRR awards by optimizing the system-wide economical benefits given bids and offers.

• Determine Unit Commitments, Energy, AS and CRR awards by optimizing the system-wide economical benefits given bids and offers.

Slide 6

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Key DAM Integration

Original or Reduced AS Plan

DAM Sub-ProcessesAS Plan

Validated AS Offers

Validated Self-Arrangement

AS Insufficiency Check

Network model

Outage Schedule

CRR

SPS/RAP

Load Zone Distribution

Factors

CRR Oversold Quantities

DAM Pre Processing

NCUC

Post Processing

NSM

SFTDerating CRR

Options

QSE Notification of Awards

Post Market information

DAM Information to

Settlement

Validated COP’s

Validated CRR Offers/PTP

Obligation Bids

Validated (3 part supply) Energy Bids/

Offers

DAM Clearing Process

Generic Constraints

Dynamic Ratings

Hub Distribution

Factors

Resource Parameters

RMR Contract

Data

IUC

Validated Energy, AS, Capcity Trades, Self

Schedules, DC-tie Schedules

DRUC Notification

of AS Insufficency

Price Validation & Correction

AS Obligation

RMR Offer Creator

RMR Operator

Derated Quantities of CRR PTP Options

declared for Settlement in RT

Settlement

Weighted Shift

Factor

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High-Level Inputs most frequently inquired about by market• Network Operations Model

• Loaded weekly from NMMS into MMS for DAM,RUC,SCED• Connectivity, Ratings, Thermal Constraints, Contingencies

• Outages • Transmission outages from OS at 0600 Day-Ahead

• SPS/RAP• SPS/RAP definition from NMMS/CIM model

• Shift Factors calculated in DAM process (different from SCED)• Dynamic Ratings• From EMS at 0600 Day-Ahead

• Load Distribution Factors (Zone, Hub)• EMS – Normally, the State Estimate output of 7 days ago. Holidays will be different

• QSE COP• Current day COP used for temporal constraints of next day• COP HSL/LSL used for capacity available next day

Other Observations and Analysis

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DAM Configuration questions

• Shift Factor Cutoff

• Set to 0.001 for Resource Node

• No cutoff for Load Zone & HUBs

• DAM Penalty Factors

• Not used in pricing, only for setting priority

• Ancillary Services

• RegUp = 3,000,000 $/MW

• RegDn = 3,000,000 $/MW

• RRS = 2,000,000 $/MW

• NSPSIN = 1,000,000 $/MW

• Transmission constraints: 350,000 – 1,000,000 $/MW

DAM Configurations

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DAM Software and Data issues in progress

• Link to current DAM trials issues list:

•http://nodal.ercot.com/readiness/markettrials/dam/index.html

•MMS5-P8 delivering last week of July

• Performance limitations

•Energy Only offer/Bids limit: 15,000 / PTP bids: 15,000 /CRR option offers: 2,000

•Full volume can result in long-running DAM (not observed in trials)

• Data highlights:

•Updated contingency definitions coming Aug 2

•EMS still tuning LDF

•Workaround for Generic (Non-thermal) constraints

•Ratings

DAM Software and Data issues

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Other functionality delivering to market trials to enhance DAM

• NPRR206- Credit eFactors (MMS5-P8)

• NPRR102- Redacted Network Model (target July 23)

Other DAM deliveries

DAM Analysis

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Contents

• Analysis of July 15th DAM– Summary of OD 7/15 – Unconstrained study– MCPC for Ancillary Services– Negative MCPE analysis

• Some issues from other days’ DAM– LZ energy clearing constrained– Opportunity cost in MCPC– Constraints binding in DAM which supposed to be protected by

SPS • CRR-NOIE Offers (options in DAM)

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DAM Submissions for OD 7/15

VALID CANCELLED TOTAL MA Limit

CRR 446 1 447 2,000

PTP 128 1 129 15,000

EO 516 37 553 15,000

ASO 298 2 300

S-AS 103 8 111

3PO 406 12 418

COP 652 1 653

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Analysis of July 15th DAM

•Overall System Offers/Bids & Clearance

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Analysis of July 15th DAM

•Load Zones Bids & Clearance

Price Difference Between Load Zone and Hub

$/MWh

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Unconstrained Energy Clearing VS Constrained Energy Clearing

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Analysis of July 15th DAM

• 17 Secured Equipments is bounded.• 20 Contingencies have associated Binding Constraints.

Equipment Name Total Constrained Hours560_A_1 246150__D 211660__A 21970__C 15

ECRSW_FMR1 12428T428_1 10

VALIMP 106146__A 8

LA_PAL_VCAVAZ1_1 72500__C 6

SILASRAY_T1 5SILASRAY_T2 5CKT_907_1 3

ALAZAN_B_DAVI1_1 3TEN_CRD1_1 2TEN_CRD2_1 2

260_A_1 1

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Ancillary Service Study

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REGUP Price Spike Study

Hour AS Plan (MW)

Self AS (MW)

DAM Buy (MW)

MCPC ($/MWh)

Total offer (MW)

1 1115.00 73.30 1,042 400.00 4279.40

2 680.00 47.50 633 27.91 4279.40

24 790.00 53.40 737 29.95 4239.40

RegUp information for Hour 1, 2 and 24

RegUp Offer structure for Hour 1

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SPP Deviation

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Settlement Point SWEC_G1 Price Study

The offers/bids at settlement point SWEC_G1 has large influence on a binding constraint from STASW to NDLNE. There is a negative price offer (-37.5 $/MWh) at the SP all the day with different quantities for each hour. At hour 9, the quantity is the biggest one and it became the marginal unit to set the SPP.

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Load Zone clearing constrained

• Currently, DAM enforce all transmission line and transformer constraints for all voltage level modeled by ERCOT system

• For some constraints, especially lower KV, only reducing load behind the constraints can solve the congestion

• DAM cannot control the individual load. Instead, DAM have to limit the total cleared energy only bids & PTP sink to limit the load amount behind the congested line

• OD 7/9 DAM

DELIVERY_DATE Hour

CONTINGENCY_NAME CONSTR_NAME

LIMIT

SHADOW_PRICE

SHIFT_FACTOR STL_PNT

max possible clearing

actually clearing

7/9/2010 18 SVICMAG9 N_VICT_VICTOR1_1 76 7970.34 -0.0172666 LZ_SOUTH -4401.561396 -4401.6

7/9/2010 19 SVICMAG9 N_VICT_VICTOR1_1 76 9106.81 -0.0172267 LZ_SOUTH -4411.756169 -4411.8

7/9/2010 20 SVICMAG9 N_VICT_VICTOR1_1 76 11350.7 -0.0150318 LZ_SOUTH -5055.948057 -5055.9

7/9/2010 21 SVICMAG9 N_VICT_VICTOR1_1 76 1458.02 -0.0141437 LZ_SOUTH -5373.41714 -5373.4

7/9/2010 22 SVICMAG9 N_VICT_VICTOR1_1 76 413.22 -0.0137344 LZ_SOUTH -5533.550792 -5533.6

Note: actually clearing includes the net of Energy Only Offer/Bids, PTP obl and CRR for real time.

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Opportunity Cost in MCPC

• OD 4/28 DAM – Hour 900 RegDn MCPC = 1021.74 $/MWh

– The marginal resource which was provide the last MW of Reg Down. In DAM solution, this resource has already been awarded the whole capacity up to HSL (3PO + RegUp + RRS =150 MW) and RegDn = 3PO – LSL =75.92 MW

– If system need 1 more MW of Reg Down, this resource shall increase 1 MW energy and reduce 1 MW either RegUp or RRS. Reduced 1 MW RegUp/RRS will be provided by marginal offers of RegUp/RRS which is at 1001.01 $/MWh based on MCPC for RegUp/RRS. Increased 1 MW energy will require other resources to reduce total 1 MW and the cost change will be the LMP at resource node. Therefore,

– RegDn MCPC = (RegUPMCPC  - RegUPOffer) + (EngOffer - LMP) + RegDNOffer

LSL HSL3PO Awards

RegDn Awards

RegUp awards

RRS awards

60 210 135.92 75.92 32.08 42

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Binding Constraints protected by SPS

• OD 6/10 DAM

– Associated SPS is defined (the Austrop 345/138 kV Auto overloading for the contingency loss of the other Austrop 345/138 kV Auto)

– Defect: associated constrain was created earlier than the SPS be triggered.

• OD 5/26 – 5/28 DAM– Elkton – Athens 138 kV line overloading for the contingency loss of

Trinidad – Stryker Creek & Trinidad – Mt. Enterprise 345 kV double circuit

– Associated SPS is defined. However,– Triggered Flow > Dynamic Rating

DELIVERY_DATE DELIVERY_HOUR CONTINGENCY_NAME CONSTR_NAME LIMIT VALUE

6/10/2010 4, 6, 14, 17 XAUS58T1 AUSTRO_AT2 480 480

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Binding Constraints protected by SPS

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CRR Option declared to be settled in RT

• CRR option offers from NOIE to DAM– Only submitted CRR offers will be included in DAM and possibly to be

settled by RT– Not submitted CRR option will be settled by DAM LMP as all other

CRR• DAM derating testing (POD) for CRR option offers

– Before DAM run, CRR offers will be checked against Day-Ahead net work.

– The offered quantity will be reduced if the total offer is over network capability.

– Only the remaining part of CRR offers will be used by DAM– The derated part will be settled by either DAM or RT based on the

LMP and offered price (protocol section 4.6)

…(next page)

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CRR Option declared to be settled in RT

• DAM will reserve the transmission capacity for non-cleared CRR offers– To a constraint the impact will be,

(OfferedMW – ClearedMW ) * max[0, (SourceSF - SinkSF) ]– The clearing price of a CRR offer will be,

∑ max[0, (SourceSF cons i – SinkSF cons i) ] * ShadowPrice cons i • The CRR offer clearing price >= LMP difference between source

and sink– The LMP difference will be,

LMP sink – LMP source

= (λ -∑SinkSF cons I *ShadowPrice cons i) – (λ - ∑SourceSF cons i * ShadowPrice cons i)

=∑ (SourceSF cons i – SinkSF cons i) * ShadowPrice cons i

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Entended Q&A

Q&A