Decomposition of spot price into underlying components

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  • Last post 16 December 2019
LanaStockman posted this 15 December 2019

Hello EMI guys,

In some other jurisdictions spot prices are presented in 3 components - the underlying spot price from generator offer, then the losses, and then the congestion elements.  Are we able to do that here?

Thanks

Lana

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LanaStockman posted this 15 December 2019

and another question from me - do we have some measure for the spot price volatilty over time?  

Phil Bishop posted this 16 December 2019

Hi Lana

Yes, we can do, and indeed have done, all of the things you ask about. However, we're a bit thin on the ground with developer effort at the moment so it might be a while before any of these things make it to an EMI report.

The spot price decomposition is quite straightforward with vSPD. It is our intention to set up an automated daily task that does the price decomposition as well as the sensitivity of price to changes in demand, i.e. perturb demand up and down in small increments and run vSPD with each perturbation to observe a new set of prices. The results of both these experiments will be captured in the data warehouse and then used to power new EMI reports. If we got this done in 2020 Q1 I'd be pleasantly surprised.

As for spot price volatility over time, you could use the wholesale price summary report to gain some insights into volatility, although examining the distribution isn't quite the same as a direct volatility measure. We have a table in our data warehouse that updates daily with the the first four moments of the price distribution for various time scales (daily, weekly, monthly, quarterly, and annual) for all nodes, as well as capturing min, max, quartiles and various percentiles. But that's all a bit drab for an EMI report. It is also on our TODO list to get a measure of price volatility into an EMI report.

Cheers

Phil 

 

LanaStockman posted this 16 December 2019

Thanks for the update Phil.    

 

 

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