Implementation of a platform for day-ahead market modeling: Case study of Sicilian future scenarios

Day-ahead price is characterized by high volatility and unpredictability, so it represents a major risk for generating companies, not only those that rely on renewable generation but also those that manage thermoelectric power plants. The typical approach employed by Gencons to address their trading strategy is to simulate energy and service markes under uncertainties to characterize the probability distribution of the future income and, then, optimize the company portfolio to maximize its certainty equivalent. However markets modeling and simulation is a big challenge due to both bidding and clearing rule and dependency on parameters that are difficult to predict, e.g., GDP growth, demand variation, entrance of new market players, as well as the structure of transmission grid. On this regard Italian transmission grid is about to change, specifically a new T-line between Sicily and Continent is going to be operated. So there will be a substantial change both in Sicilian zonal price and in the PUN (single National price for bid). In this article we describe the developed simulation tool of the Italian day-ahead market according with the last rules of the Italian market. This model has been tested extensively against real market data. The results about specific days are reported and the errors evaluated. Then different scenarios have been simulated, such as: flow rate of the global connection between Sicily and the Continent (from 250 MW to 1000 MW with steps of 250 MW) and the effect of the abolition of the single buyer (named Acquirente Unico - AU).