Optimal Trading Strategy of Coordinating Electricity Purchase in Monthly Electricity Market and Day-ahead Market Based on CVaR

Abstract

The new round of power system reform has been carried out in China since 2015. At present, China’s mediumand long-term electricity market has been basically established, but the spot market is still in the stage of exploration. As the organizers of the current power market, the grid companies have to reasonably arrange the purchase of electricity in electricity market of different time scale. In this paper, a risk-based optimization model is proposed to reasonably arrange electricity trading in monthly electricity market and the day-ahead market in order to guarantee the balance of supply and demand, and to connect the electricity markets of different time scales. CVaR is introduced to analyze the risk of forecasting error. The illustrative cases are introduced to verify the effectiveness of the strategy. The paper provides a reference for the organizers to coordinate the electricity purchasing plan in monthly electricity market and the day-ahead market.