Where to market flexibility? Integrating continuous intraday trading into multi-market participation of industrial multi-energy systems
Niklas Nolzen, Alissa Ganter, Nils Baumgärtner, Florian Joseph Baader, Ludger Leenders, André Bardow
Abstract
The rising share of volatile renewable electricity generation increases the demand for flexibility. Flexibility can be offered by industrial multi-energy systems and marketed either on the continuous intraday, day-ahead, or balancing-power markets. Thus, industrial multi-energy systems face the question where to market their flexibility. We propose a two-step method to integrate trading on the continuous intraday market into a multi-market optimization for flexible industrial multi-energy systems. First, we estimate revenues from continuous trading in the intraday market, employing option-price theory. Second, a multi-stage stochastic optimization allocates the flexibility to the three markets. The case study of an industrial multi-energy system demonstrates that coordinated bidding in all three markets reduces costs the most. A sensitivity analysis reveals that the optimal split between the different markets strongly depends on the intraday market volatility. Overall, the proposed method provides a practical decision-support tool for multi-energy systems participating in short-term electricity and balancing-power markets. • Coordinated bidding strategy for optimal multi-market participation of multi-energy systems. • Integration of the continuous intraday market into a multi-market optimization. • Option-price theory estimates profit from trading in the continuous intraday market. • Multi-market participation minimizes costs for multi-energy systems.