Implementation of a Trading Algorithm for ID-Trading

Engaged in a joint project with two European transmission system operators (TSO), the institute develops and implements a trading algorithm for an intraday electricity market, taking into account also intra-day stops within the market areas Germany and Austria. Point of departure is the obligations of the German TSOs to market specific amounts of the renewable energy production on the respective electricity market. As the energy offered at the day-ahead spot auction market is based on an uncertain estimate – due to changing weather conditions (sun, wind) and time-to-maturity – there is a need for a subsequent buying and selling at the intraday market in order to close remaining open positions, i.e., the remaining residuals between the already marketed energy and the most recent production forecasts. The ior/cf-HSG has extended the theoretical foundations for a trading algorithm coping with the relevant uncertain influencing factors; special attention has been paid to separable algorithmic tasks and fast execution steps.