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White Paper: Modeling of PTP Obligation Bids in the DAM for Contingency Analysis

Version 1.1

Sai Moorty

February 27, 2017

Revision History

|Revision |Comments |Date |Author |

|1.0 |Initial Version |2011 |Sai Moorty |

|1.1 |Updated |02/27/2017 |Sai Moorty |

Objective

The objective of this white paper is to provide the ERCOT market with an overview of how Point-to-Point (PTP) Obligation bids are settled when a contingency de-energizes a Settlement Point where (a) a source or sink of a PTP Obligation bid exists, and (b) the contingency results in a binding constraint where the remaining energized Settlement Point (source or sink) has a non-trivial Shift Factor to the constraint.

Content

Occasionally, Point-to-Point (PTP) Obligation bids are settled at a price HIGHER than the submitted Not-to-Exceed Price of the PTP Obligation bids. This informational white paper describes ERCOT’s processes for modeling PTP Obligation bids in the Day-Ahead Market (DAM) for contingency analysis.

In the event that a contingency de-energizes a Settlement Point where (a) a source or sink of a PTP Obligation bid exists, and (b) the contingency results in a binding constraint where the remaining energized Settlement Point (source or sink) has a non-trivial Shift Factor to the constraint, then the PTP Obligation bid could be settled at a higher price than the Not-to-Exceed Price of the submitted bid. Such an event only occurs in a very specific set of circumstances. If any of following conditions are present, the event will not occur:

a) No overloads for the contingency that disconnects a Settlement Point where a PTP Obligation bid has a source or sink;

b) Overloads are present, but the Shift Factor of the remaining energized Settlement Point (source or sink) is trivial (i.e., close to zero); or

c) A constraint is NOT binding or overloaded in the final DAM solution.

This type of event results in a price from the optimization that is different than the price spread calculated from the published DAM Settlement Point Prices (SPPs). This occurs because the LMP contribution for the contingency that de-energizes the source or sink of the PTP Obligation bid is not included in the optimization price for the PTP, but is included in calculating the SPP for the Settlement Point that was not de-energized in the contingency. It may also be the case that a PTP Obligation bid will not be awarded because the bid price is lower than the optimization price but higher than the calculated SPP difference.

In contingency analysis, a DC power flow is performed on the post-contingency network to determine overloads. For overloaded branches, constraints are passed to the optimization engine to re-dispatch MW to relieve overloads in an economical manner. A contingency for the DAM is typically defined as a group of breaker operations (Open/Close), line outages, and/or transformer outages. Implementation of the contingency may, apart from disconnecting lines and transformers, also result in outage of Load, generation, and/or split or out of service power flow buses.

Power balance is maintained in post-contingency power flow by ignoring MW awards of PTP Obligation bids where a source or sink is de-energized for a contingency. If a PTP Obligation bid has a source or sink at a Settlement Point that is de-energized in a contingency, then to maintain power balance, the MW award from the PTP Obligation bid must be ignored in the post-contingency power flow for the contingency. PTP Obligation bids are self-balanced, therefore the post contingency power flow has power balance when the MW award of this PTP Obligation bid is ignored.

A constraint develops when an overloaded branch is found in the post-contingency power flow. This constraint is then passed to the optimization engine, which re-dispatches and relieves the overload. The transmission constraint equation is:

[pic]

Where:

|Ctl |Counter for each Bid/Offer (Three Part Offer, DAM Energy Only Offer, DAM Energy Only Bid, PTP Obligation|

| |Bid) |

|MWctl,hr |MW (>0) for hour (hr) from each Bid/Offer that flows in the DAM network model; Corresponds to the MW |

| |awards for each Bid/Offer. |

|Limitbr,hr |Rating of the branch (br) by hour (hr) upon which a constraint is modeled (Normal for Base Case; |

| |Emergency for contingency case) |

|SFctl,c,hr |Shift Factor for each Bid/Offer to constraint (c) for hour (hr) |

| |Three Part Offers - SFctl,c,hr is the Shift Factor from the connectivity node of the Resource to the |

| |constraint (c) for hour (hr) |

| |DAM Energy Only Offers - SFctl,c,hr is the Shift Factor from the connectivity node of the Resource to |

| |the constraint (c) for hour (hr) |

| |DAM Energy Only Bids - SFctl,c,hr is the Shift Factor from the Settlement Point (Resource Node, Load |

| |Zone, Hub, etc) to the constraint (c) for hour (hr); the negative value of the Shift Factor is used |

| |PTP Obligation Bids - SFctl,c,hr is the difference between the source Settlement Point Shift Factor and |

| |sink Settlement Point Shift Factor (Source Shift Factor – Sink Shift Factor) of the PTP Bid to the |

| |constraint (c) for hour (hr) |

| |Three Part Offers - SFctl,c,hr is the Shift Factor from the connectivity node of the resource to the |

| |constraint (c) for hour (hr) |

Note: For a contingency that de-energizes a Settlement Point, the Shift Factor from the Settlement Point to a constraint resulting from the contingency is UNDEFINED. The MW award of PTP Obligation bids whose source or sink is de-energized does NOT show up in the constraint equation; Rather, it is equivalent to Shift Factor (SFctl,c,hr) being equal to zero for the PTP Obligation Bid.

Example:

At the end of DAM execution, the following conditions were present:

• 3 constraints c1, c2, and c3 were binding/violated for an hour with Shadow Prices SP1, SP2, SP3, respectively

• c2 disconnected Settlement Point S1

• A PTP Obligation bid was present with source at S1, sink at S2, and a Not-To-Exceed-Price [pic] )

For the DAM optimization engine, the effective awarded price for the PTP Obligation bid with source at S1 and sink at S2 would be:

[pic]

The Shadow Price of c2 did not impact the awarded price as far as the DAM optimization engine was concerned because the MW award from the PTP Obligation bid from S1 to S2 was ignored for constraint c2 since the source S1 was de-energized.

Note: The Not-To-Exceed-Price ([pic]) will ALWAYS be greater than or equal to the awarded price as far as the DAM optimization engine is concerned (i.e. [pic]), and the Settlement for the PTP will be the difference between the sink Settlement Point Price (SPP) (S2) and the source SPP (S1).

SPP at S1:

[pic]

Where:

[pic] is the power balance Shadow Price (System Lambda)

Note: S1 is de-energized for c2, and therefore the Shadow Price for c2 has no impact on the SPP for S1.

SPP at S2:

[pic]

Where:

[pic] is the power balance Shadow Price (System Lambda)

Note: S2 is energized for c2, and therefore the Shadow price for c2 has an impact on the SPP for S2.

Settlement for the PTP between S1 and S2 is:

[pic]

The difference between [pic](QSE invoice amount) and [pic] (price used for DAM optimization and on the PTP Obligation bid award report) is [pic] , which can cause the QSE invoice amount [pic] to be higher than the Not-to-Exceed Price ([pic]).

Note: If the source or sink Settlement Point of a PTP Obligation bid is de-energized in the base case, then the PTP Obligation bid is not considered in the DAM and there will be NO AWARDS.

DAM SPPs are calculated using the formula:

[pic]

Where:

|SPPi,hr |Locational Marginal Price at Settlement Point (i) for hour (hr) |

|c,hr |Counter on the set of transmission constraints set that are binding/violated for hour (hr) |

|nc |Total number of transmission constraints that are binding/violated for hour (hr) |

|SFi,c,hr |Shift Factor from Settlement Point (i) to a constraint specified by the counter (c,hr) |

|SPc,hr |Shadow Price of a constraint specified by the counter (c,hr) |

|SPPi,hr |Locational Marginal Price at Settlement Point (i) for hour hr) |

Note: Shift Factors are calculated based on the topology and admittance of the network model.

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