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Day-Ahead Market (DAM) Clearing Process follow-up from February WMS. Matt Mereness, ERCOT Manager DAM & CRR. Outline of Discussion from WMS regarding DAM OD 2/6/13. Two action items from WMS in Feb What was the amount of load resource proration Details and requirements of DAM Optimization

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Day-Ahead Market (DAM) Clearing Process follow-up from February WMS

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Day-Ahead Market (DAM) Clearing Process follow-up from February WMS

Matt Mereness, ERCOT Manager DAM & CRR

Outline of Discussion from WMS regarding DAM OD 2/6/13

Two action items from WMS in Feb

  • What was the amount of load resource proration

  • Details and requirements of DAM Optimization

    Other observations

  • A/S linked offer summary

  • A/S trends since Feb 6

  • MIP trend since NPRR322 implemented Feb 12


  • Basic example of DAM Optimization in A/S shortage

  • Reminder of A/S trades and self-arrangement positions

Q1- WMS Load Proration Question for HE1 OD 2/6/13

  • Question from WMS of how many Load Resources and MW were prorated in DAM for HE01 on Feb 6

    • Answer is that no Loads were prorated for HE01

    • Some loads not fully awarded due to COP for Resources (HSL below Offer amount so only awarded up to HSL)

Q2- DAM DesignDAM design and objective function in protocols

Protocols 4.5.1(4)

The DAM uses a multi-hour mixed integer programming algorithm to maximize bid-based revenues minus the offer-based costs over the Operating Day, subject to security and other constraints, and ERCOT Ancillary Service procurement requirements.

(a)The bid-based revenues include revenues from DAM Energy Bids and Point-to-Point (PTP) Obligation bids.

(b)The offer-based costs include costs from the Startup Offer, Minimum Energy Offer, and Energy Offer Curve of any Resource that submitted a Three-Part Supply Offer, DAM Energy-Only Offers and Ancillary Service Offers.

Q2- DAM DesignDocumentation

  • DAM Requirements document from Go-Live posted at

    • From Appendix 1, DAM clearing mathematical function

      (see next slide for market clearing objective function)

    • Energy and A/S Prices both driven by shadow prices for next MW

Q2- DAM Design

Q2- DAM DesignDAM clearing process and analysis

  • DAM engine – Unit commitment creates potential commitment patterns/solutions, then sends to network security analysis.

  • Based on the results, adjusts commitment pattern

    • Continues to iterate until all violations are resolved and the solution meets all parameters, including the MIP threshold

      • As previously noted, the MIP gap/threshold represents the area wherein multiple possible solutions that meet the constraint set become equivalent and indistinguishable to the DAM engine

  • Once an acceptable solution is found and DAM converges, the final prices are calculated in a pricing run

  • All awards and prices sent to Price Validation Tool analysis and investigated and validated in parallel by DAM Operator

  • See appendix for basic market clearing and pricing example

Other Observations:A/S Linked Offer Summary

Majority of online AS offers from generators (~75%) were not linked with Non-Spin on Feb 6

  • Example is 50 MW capacity offering $10 RegUp and $8 RRS. Perhaps the QSE would also be willing to sell Non-Spin at $8 from the same capacity, but that is not reflected in the offer

    • No A/S substitution

  • More linked offers from online resources may have helped the non-spin scarcity in Hour 1

Other ObservationsA/S Offer trends since Feb 6

OffNon-Spin TREND

Other observations:MIP threshold since NPRR322

  • MIP threshold is necessary because DAM is not a straight marginal dispatch problem

    • DAM solution is a combination of binary and continuous variables

    • Binary variable decisions (turning on a generation resource, awarding a fixed quantity block bid, etc.) are subject to an imperfect solutions within the MIP gap

      • Purpose of the DAM Make-Whole payment in the case of valid Three-Part Offers

        • Looks at total profit for the OD, however; doesn’t help if DAM extends the commitment by an hour when turning off sooner was more optimal, for instance

    • Continuous variable decisions (such as awarding an energy bid curve) are not subject to it and will always be consistent with the clearing prices

    • Binary variables for recent DAMs: approx 240 TPOs plus 50 fixed quantity bid/offers times the hours contained therein

Other Observations:MIP threshold

  • How MIP gap is calculated:

    • As each iteration completes, the engine runs a mini auction where all the binary variables become continuous (e.g., that a resource with a 200 MW LSL can be awarded just 0.1 MW)

    • This removes the lumpiness from the solution and provides a baseline to compare to the real solution

      • So the “optimal” solution that is used for comparison is one that is not feasible nor attainable, but it gives an indication of the current solution quality.

Other Observations:MIP Threshold Refinement since NPRR322 on Feb 12



Example with Linked AS Capacity

Simplified example to illustrate price effect from linking AS capacity in AS Offers:

Reminder of Mechanics of AS Trades


QSE AS Obligation


Self-Arranged AS


AS amount ERCOT

buys in DAM for QSE



QSE AS Responsibility

Total DAM AS

Offer awards


Offer awards

Self-Arranged AS


AS sold in Trades


AS bought in


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