Optimal Bidding Strategy for Electricity Sales Company Considering Contract for Difference and Risk

摘要

In view of the existence of contract for difference (CFD) in the electricity market, the market rules require all the entities of the market to participate in spot market bidding. This study develops a step-wise planning model to determine the bidding curves on day-ahead market for electricity sales companies. Due to the deviation between the actual electricity consumption and the bidding amount in the day-ahead market, both punishment of electricity deviation and risk are taken into account, and the relationship between them is weighed by different coefficients. Because the competitor's bidding curve is unknown, and it is assumed that their bidding coefficients obey the normal probability distribution, then a stochastic optimization method based on Monte Carlo simulation is developed. A numerical example serves to illustrate the impacts of different factors on the electricity sales companies’ profit expectation and variance. The results show that electricity sales companies can benefit from optimizing the coefficients of each factor in different market environments.