Algorithmic Spot-Trading (incl. Enhancements & Amendments)

Power spot markets consist of a day-ahead auction and continuous-time intraday trading. They carry the information necessary for trading the flexibilities inherent in virtual power plants and new storage technologies. We develop customized trading strategies for algorithmic asset backed trading, based on the volatility structure and the price shape over the delivery products of 15 minutes. The algorithms derive stacked orders for the day-ahead auction and place orders automatically in the order book of the associated intraday market. In doing this we are able to exploit the risk premia of option rights inherent in flexible capacities.