Cross-zonal trading in the continuous intraday market : An agent-based model approach

Abstract: The accelerating growth of variable energy sources in the European market has brought to weather-dependent and less predictable generation profiles, which leads to a shift of the traded volumes from the day-ahead to the continuous intraday market because the latter is important for adjusting final imbalances. The undergoing transformation of the market introduces the need for improved trading solutions, seen already in the growing use of algorithmic trading, and for optimal market design, including the transmission capacity allocation management. In this context, the study presents the Available Transmission Capacity (ATC) and Flow-based Market Coupling (FBMC) methodologies for the calculation of interconnection capacities applied to an existing agent-based model framework for the European Continuous Intraday market. The model has been adapted to enable cross-border clearing of the orders through an enhanced process for order matching and the introduction of a capacity handling module. Therefore, the updated model is capable of studying the interactions and behaviors between the trading agents in a coupled market. Agents representing the renewable energy sources generators, the consumers and the thermal power plants are analyzed while adapting their bidding strategies in relation to the available transmission capacities on the market. It is observed that available transmission capacities in the simulations using the ATC method decrease faster compared to the simulations applying the FBMC method, therefore potentially hindering the ability of the agents to trade cross-border. The modified bidding strategy enables the traders to react to the interconnection capacity scarcity, eventually mitigating the risk of the agents to being exposed to imbalances, as unable to get transacted on the market. Additionally, from the assessment of different degrees of information asymmetry between the trading agents, it is seen how a single uninformed agent can impact on all the other actors active in the market.