Coordinated Bidding in Sequential Electricity Markets : Effects of Price-Making

As uncertainty and time granularity of short-term electricity markets increase, and intraday trading gains in importance, the complexity of deriving optimal trading decisions rises. This paper analyses the potential benefit of coordinating bids in three sequential electricity markets, facilitating a three-stage stochastic optimisation. The modelled markets comprise the typical European market setting of a balancing reserve, a day-ahead and an intraday market. Because of limited intraday market liquidity, the trading strategies also consider price impacts. The results show that coordinated bidding has the potential to increase profitability and that the size of gains depends on the price impact consideration. In a case study with a biomass and photovoltaic portfolio operating in Germany, we find that coordinated bidding increases the average revenue by around 18% over all analysed type days. With the continued increase of renewable generation, trading strategies that coordinate bids across markets are expected to further gain importance