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Explaining a single imbalance price

Recently, our LinkedIn page told a story on a specific imbalance quarter. In this blog, we recap the story as it was told.

Monday: Introduction

Every wondered what it is like to work as an analyst at Senfal? This week we take you along for a look at a special event that happened just after Christmas. Imagine coming to work, opening your laptop and encountering this: A negative price spike in the TenneT imbalance price. You are curious and begin your research into what lead to this peak. What would your next step be?

Tuesday: One step deeper

Day 2 of taking you along our investigation! Yesterday, we introduced you to a quarter with a very negative price (-487 €/MWh). In the reactions, you rightly suggested to take a look at dips/spikes in either demand or energy generation. However, we will first have a more direct look at the imbalance of the system, through other TenneT data. TenneT, the party that guards the balance in the grid, also publishes the 𝙧𝙚𝙜𝙪𝙡𝙖𝙩𝙚𝙙 𝙫𝙤𝙡𝙪𝙢𝙚, which is how much power they actively use to balance the grid. In our quarter (red dot), there was quite a surplus of energy (254 MW), although nothing out of the ordinary. Below we show you all combinations of regulated power and prices in the past 6 months to see how it stands out. The red dot is quite the outlier! So if the imbalance (power wise) was not so special, how come the price was? What do you think?

Wednesday: Bid ladder

Day 3 for our investigation into a negative imbalance price in December. At this point, many contributors provided great answers to the posts on LinkedIn. You can find their answer here. Thank you for contributing!

Let’s break up the story in little pieces moving forward. Before we dive into the cause of the quarter, there is one more thing we can deduce from the TenneT signal. Below, you see the published prices of the active imbalance market. You only see 3 snapshots of the relation between volume and price. In our quarter of interest, the volume went up to 254 MW, leading to a price of -487. According to the snapshot below, that is not logical. Or is it? hint: When does TenneT stop following the bid ladder?

Thursday: Power plants

Day 4 for our investigation into a negative imbalance price in December. Yesterday we asked the question how come the price did not behave according to the bid ladder. Usually there are 2 explanations:

  1. TenneT wants to have a quicker reaction, by activating volume that is placed further in the bid ladder.
  2. The activated volume has a failure, leading for the bid ladder to shift.

Both of these reasons can indicate a larger failure in the grid. If we look at the ENTSO-E Transparancy Platform, we see that Uniper 3 (Maasvlakte 3) had an outage right about the time we saw our negative price dip. Or, it could have to do with a flip from export to import on the BritNed interconnector. Prices in the energy grid will always be a result of multiple factors: activations, trades, failures and environmental changes. By staying connected to all the data, our software can quickly react to sudden changes. The task of the analyst still isn’t finished: the outage was reported long after our negative price dip occurred. The TenneT signal likewise came at the very end of the quarter. How can you predict the price, before the quarter even started?

Friday: Recap

This week we took you along a small investigation into a quarter with a very negative price. After figuring out the cause, a Senfal analyst works on connecting our machine learning algorithms to data feeds, in order to find patterns that can see future events ahead of time. We want to thank everybody who participated in the comments for their creative and insightful responses! Senfal is looking for analysts and data scientists ! Are you someone who wants to contribute to our software, or perhaps you know someone who would fit well in our team? Please contact use through www.senfal.com/careers . See you next week!