Optimal Bidding of Flexible Demand in Electricity Markets With Block Orders

Although block orders are emerging as an interesting alternative to the multi-part offering / bidding paradigm, existing research on optimal participation in electricity markets employing block orders exhibits two critical limitations. Firstly, it has not focused on flexible demand (FD) participants, and, secondly, it has not explored exclusive groups (EGs), a block order type which is already employed in the European day-ahead market. This paper addresses these limitations by proposing a novel optimal bidding model for a price-taking, stand-alone FD participant, which optimizes the submitted EGs, while factoring realistic market regulations around block orders and the price uncertainty encountered by the participant. The proposed model is deployed to quantitatively support our hypothesis that EGs constitute a particularly valuable type of block orders for a FD participant, by comparing its resulting costs under the submission of simple hourly orders, independent profile block orders, and EGs. This is achieved through both illustrative, small-scale examples and more realistic large-scale and out-of-sample studies, while considering three different types of FD in order to demonstrate the general applicability of the proposed model.