Algorithmic Intra Day Trading (incl. Enhancements & Amendments)

Due to the stochastic nature of wind and photovoltaics, these types of renewable electricity generation have a strong impact on the open volume and traded prices on the intraday market for electricity at the EPEX SPOT power exchange. Transmission system operators (TSO) have to market this electricity on the intraday market. In cooperation with two European TSO, the ior/cf-HSG develops customized trading algorithms, which incorporate the price and volume dynamics as well as risk exposures. The algorithms are integrated in various energy trading systems; they place orders automatically on the intraday market in order to effectively manage the TSO's net position, which varies due to periodically changing feed-in prognoses and rebalancing intraday market transactions. Those algorithms are designed in line with the needs of the TSO with respect to i) the generation capacities of the market area, ii) the regulatory framework in the respective control area, iii) the pricing of balancing energy, and iv) the underlying risk guidelines.