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arXiv · 2505.05153

Day-Ahead Bidding Strategies for Wind Farm Operators under a One-Price Balancing Scheme

Max Bruninx·Timothy Verstraeten·Jalal Kazempour·Jan Helsen
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Abstract

We study day-ahead bidding strategies for wind farm operators under a one-price balancing scheme, prevalent in European electricity markets. In this setting, the profit-maximising strategy becomes an all-or-nothing strategy, aiming to take advantage of open positions in the balancing market. However, balancing prices are difficult, if not impossible, to forecast in the day-ahead stage and large open positions can affect the balancing price by changing the direction of the system imbalance. This paper addresses day-ahead bidding as a decision-making problem under uncertainty, with the objective of maximising the expected profit while reducing the imbalance risk related to the strategy. To this end, we develop a stochastic optimisation problem with explicit constraints on the positions in the balancing market, providing risk certificates, and derive an analytical solution to this problem. Moreover, we show how the price-impact of the trading strategy on the balancing market can be included in the ex-post evaluation. Using real data from the Belgian electricity market and an offshore wind farm in the North Sea, we demonstrate that the all-or-nothing strategy negatively impacts the balancing price, resulting in long-term losses for the wind farm. Our risk-constrained strategy, however, can still significantly enhance operational profit compared to traditional point-forecast bidding.

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BibTeXRIS

Max Bruninx, Timothy Verstraeten, Jalal Kazempour, Jan Helsen. 2025-06-27. Day-Ahead Bidding Strategies for Wind Farm Operators under a One-Price Balancing Scheme. https://arxiv.org/abs/2505.05153

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