Decomposition of spot price into underlying components

  • Last post 22 October 2020
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?



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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.




LanaStockman posted this 16 December 2019

Thanks for the update Phil.    



Mathieu posted this 22 October 2020


I was wondering if there had been any updates on the decomposition of the pricing data. Do you guys have a new rough estimate of when such data will be available?

Thanks a lot!


Phil Bishop posted this 22 October 2020

Funny you should mention the price decomposition initiative. Tuong and I were just discussing that yesterday. I would hope that we'd have an EMI report of this by the end of the year.

The reason this will take us a little while is that we're in the midst of migrating our data ingestion/storage/presentation platform from SQL databases running on a SQL Server VM to Databricks and a Delta Lake in our Azure environment. We've got vSPD jobs running in containers producing output into blob storage that then gets ingested into the Delta Lake. But we've yet to wire up the EMI website to talk to the Delta Lake. The price decomposition task is about to get added to one of the container jobs.



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Mathieu posted this 22 October 2020

Thanks for the update, Phil.

Great to hear, I look forward to it.