VRL Analysis
Posting Date: 08/01/2015
Gentry Crowson, Market Forensics
Southwest Power Pool, Inc.
Contents
Executive Summary .............................................................................................................................. 3
Background ........................................................................................................................................... 6
Analysis of OC Breach Characteristics in the Marketplace................................................................... 8
VRL Yearly
Analysis
2
Southwest Power Pool, Inc.
Executive Summary
This report analyzes the occurrences and trends of Violation Relaxation Limits (VRL) and their impact
to economics and reliability. The 2013-14 VRL analysis focused on the July 2013 through February
2014 time period for the EIS market used historical data from prior reports for comparisons and the
March 2014 through June 2014 period for the Integrated Marketplace. This report will focus on July
2014 – June 2015 time period for the Integrated Marketplace.
The Integrated Marketplace utilizes Violation Relaxation Limits (VRLs) to assist in quickly arriving at
the best possible dispatch solution. When it is infeasible to simultaneously enforce all of the defined
constraints at a Shadow Price less than the predefined VRL, SPP applies the VRL in the solution. The
Integrated Marketplace VRL categories are;
Violation Relaxation Limit Categories
Integrated Marketplace
Spinning Reserve requirement
Operating Constraint (OC)
Resource Ramp Constraint
Global Power Balance Constraint
Resource Capacity Constraint
Table 1
Tables 2&3 provide a summary of VRL instances for the Integrated Marketplace for the analysis
periods along with a comparison to historical values. An instance is any occurrence of a VRL,
therefore, OC constraints could result in multiple instances per interval if VRL is applied to more than
one constraint. There were no resource capacity or global power balance constraint occurrences for the
time periods analyzed and a few resource ramp constraint instances which all are shown in Tables
2&3.
VRL Yearly
Analysis
3
Southwest Power Pool, Inc.
VRL Instances Summary (Marketplace)
Mar 2014 – Jun 2014
Day-Ahead
Spinning Reserve
Operating Constraint
Resource Ramp
Constraint
Global Power Balance
Constraint
Resource Capacity
Constraint
Real-Time
Total
0
32
Avg/Month
0
8
Total
342
6,055
Avg/Month
85.5
1,513
0
0
35
8.8
0
0
0
0
0
0
0
0
*Day-Ahead interval is hourly and Real-Time is 5-minute
Table 2
VRL Instances Summary (Marketplace)
July 2014 – Jun 2014
Day-Ahead
Total
Avg/Month
Spinning Reserve
0
Operating Constraint
Resource Ramp
Constraint
Global Power Balance
Constraint
Resource Capacity
Constraint
0
Total
392
Avg/Month
32.7
4,968
496
18,507
1,542
0
0
31
2.6
0
0
0
0
0
0
0
0
*Day-Ahead interval is hourly and Real-Time is 5-minute
Table 3
VRL Yearly
Analysis
4
Real-Time
Southwest Power Pool, Inc.
Block VRLs for OC were implemented on March 25, 2011 and carried forward in the design of the
Integrated Marketplace. The previous year’s VRL analysis (2013-14) provided data through June 2014 and
this year’s 2014-15 analysis focuses on the following periods;



July 2013 – February 2014 (Block VRL – EIS since last VRL analysis)
March 2014 – June 2014 (Block VRL - Marketplace)
July 2014 – June 2015 (Block VRL – Marketplace)
For all periods in the analysis, Spinning Reserve and Resource Ramp constraints account for less than
1% of all intervals in the Integrated Marketplace. Therefore, for the purposes of this document,
analysis will focus on the Operating Constraint (OC) and the term VRL will represent the OC VRL
unless otherwise stated.
The data examined and analysis conducted by SPP of the use of VRL results in the following preliminary
conclusions and recommendations:
 SPP recommends maintaining the current levels for VRL
o Average Shadow Price for breached intervals has decreased since June 2013 even though
the number of OC breached instances has increased
o Average Shadow Price has decreased for binding instances since June 2013 but VRLs are
not applied when constraints are binding (constraint reached but not exceeded), therefore,
this is not a result of VRL levels
o Breached instances where VRLs have been applied continue to account for a small portion
(~2.8%) of all congested intervals
o The occurrences of Spinning Reserve VRL being applied is < 1% of all intervals in the
Real-Time Market and none in the Day-Ahead
 SPP will continue to monitor and analyze VRL occurrences and its impacts to prices and reliability
in the Marketplace going forward.
VRL Yearly
Analysis
5
Southwest Power Pool, Inc.
Background
Marketplace:
The application of VRLs in Marketplace is similar to that used in the EIS. The Market Clearing Engine
(MCE) is used in both Day-Ahead and Real-Time to co-optimize across multiple products while adhering
to constraints. VRLs are applied in the SCED solution of Day-Ahead and Real-Time when all constraints
cannot be enforced at a Shadow Price less than a predefined VRL. The VRL categories for Marketplace are
the same as the EIS with the addition of a Spinning Reserve constraint category. Table 4 below shows the
categories for VRL in both the EIS and Marketplace. The category names differ slightly between the EIS
and Marketplace but represent similar applications of VRLs.
VRL Values (EIS & Marketplace)
Constraint Type
Description
VRL [$/MW]
Spinning Reserve
requirement *
A MW value representing the
Spinning Reserve requirement.
$200
Operating Constraint (OC)
Resource Ramp Constraint
Global Power Balance
Constraint
Resource Capacity Constraint
$500 when the loading is greater than
100% and less than or equal to 101%
at each network constraint at each
A MW limit that can be
Operating Constraint.
imposed on SPP related to MW
$750 when the loading is greater than
flow across a market node, a
101% and less than or equal to 102%
manually-identified
at each network constraint
transmission constraint, a Watch
$1,000 when the loading is greater
List transmission constraint, a
than 102% and less than or equal to
flowgate constraint, or a
103% at each network constraint
transmission constraint
$1,250 when the loading is greater
identified by SPP’s real-time
than 103% and less than or equal to
contingency analysis.
104% at each network constraint
$1,500 when the loading is greater
than 104% at each network constraint
The ramp capability of a
resource as indicated in the
$5,000
resource plan.
Energy needed to balance
$50,000
resources and load.
The minimum and maximum
MW dispatchable output of a
$100,000
resource as indicated in a
Resource Offer.
In the Marketplace there also exists unavoidable trade-offs in applying VRLs of the constraint type
categories where a higher VRL value is an indication of the relative priority for enforcing the
VRL Yearly
Analysis
6
Southwest Power Pool, Inc.
constraint type. With the addition of the Spinning Reserve requirement of $200/MW, the SCED
solution for the Day-Ahead and Real-Time interprets:




Spinning Reserve Requirement is relaxed before an OC constraint
An OC constraint is relaxed before a resource ramp constraint
A resource ramp constraint is relaxed before the global power balance constraint
The global power balance constraint is relaxed before a resource capacity constraint
VRL Yearly
Analysis
7
Southwest Power Pool, Inc.
Analysis of OC Breach Characteristics in the Marketplace
Block VRLs for OC were implemented on March 25, 2011 and carried forward in the design of the
Integrated Marketplace. The previous year’s VRL analysis (2013-14) provided data through June 2014
and this year’s 2014-15 analysis focuses on the following periods;
 July 2013 – February 2014 (Block VRL – EIS since last VRL analysis)
 March 2014 – June 2014 (Block VRL - Marketplace)
 July 2014 – June 2014=5 (Block VRL - Marketplace)
Tables 5, 6, and 7 represent the total Operating Constraint breach instances by the percentage the OC
was beyond the OC limit. A breach instance is any time an operating constraint loading is above the
constraint limit within the dispatch solution. Multiple OC VRL Instances per interval can occur if a
VRL is applied to more than one constraint for that interval. Tables 8 & 9 show a summary of the
constrained instances per period analyzed.
OC Breach Instances (EIS)
Apr 2011 – Jun 2013
1% or Less
1 – 2%
2 – 3%
3 – 4%
4 – 5%
5 – 6%
6 – 7%
7 – 8%
8 – 9%
9 – 10%
10 – 15%
15 – 20%
20% +
Total
Count
5,102
4,976
1,899
1,144
668
405
257
250
177
127
397
152
219
15,773
Avg/Month
189.0
61.6
25.5
42.4
24.7
15.0
9.5
9.3
6.6
4.7
14.7
5.6
8.1
% Total
32.4%
31.6%
12.0%
7.3%
4.2%
2.6%
1.6%
1.6%
1.1%
0.8%
2.5%
1.0%
1.4%
Table 5
VRL Yearly
Analysis
8
Jul 2013 – Feb 2014
Count
3,091
1,900
883
402
217
157
111
95
66
59
134
42
58
7,215
Avg/Month
386.4
237.5
110.4
50.25
27.1
19.6
13.9
11.9
8.3
7.4
16.8
5.3
7.3
% Total
42.8%
26.3%
12.2%
5.6%
3.0%
2.2%
1.5%
1.3%
0.9%
0.8%
1.9%
0.6%
0.8%
Southwest Power Pool, Inc.
OC Breach Instances (Marketplace)
Mar 2014 – Jun 2014
Day-Ahead
1% or Less
1 – 2%
2 – 3%
3 – 4%
4 – 5%
5 – 6%
6 – 7%
7 – 8%
8 – 9%
9 – 10%
10 – 15%
15 – 20%
20% +
Total
Count
24
6
2
0
0
0
0
0
0
0
0
0
0
32
Avg/Month
6.0
1.5
0.5
0
0
0
0
0
0
0
0
0
0
Real-Time
% Total
75.0%
18.8%
6.3%
0%
0%
0%
0%
0%
0%
0%
0%
0%
0%
*Day-Ahead interval is hourly and Real-Time is 5-minute
Table 6
VRL Yearly
Analysis
9
Count
3,508
1,010
504
269
131
123
102
75
49
31
117
42
94
6,055
Avg/Month
877.0
252.5
126.0
67.3
32.8
30.8
25.5
18.8
12.2
7.8
29.3
10.5
23.5
% Total
57.9%
16.7%
8.3%
4.4%
2.2%
2.0%
1.7%
1.2%
0.8%
0.5%
1.9%
0.7%
1.6%
Southwest Power Pool, Inc.
OC Breach Instances (Marketplace)
July 2014 – June 2015
Day-Ahead
1% or Less
1 – 2%
2 – 3%
3 – 4%
4 – 5%
5 – 6%
6 – 7%
7 – 8%
8 – 9%
9 – 10%
10 – 15%
15 – 20%
20% +
Total
Count
55
11
2
0
0
0
0
0
0
0
1
0
0
68
Avg/Month
5.5
2.75
0.5
0
0
0
0
0
0
0
1
0
0
Real-Time
% Total
82.1%
16.4%
0%
0%
0%
0%
0%
0%
0%
0%
1.5%
0%
0%
Count
8947
3078
1496
851
451
308
255
191
171
136
384
191
94
16,553
Avg/Month
745.0
256.5
124.6
70.9
37.58
25.67
21.25
15.92
14.25
11.33
32.0
10.5
23.5
*Day-Ahead interval is hourly and Real-Time is 5-minute
Table 7
OC Breach Summary (Marketplace)
Total Breach Instances
% Congested Instances
Avg Shadow Price
Avg Breach
Mar 2014 – Jun 2014
Day-Ahead
Real-Time
32
6,055
0.29%
11.6%
$568.26
$700.72
1.0%
2.51%
*Day-Ahead interval is hourly and Real-Time is 5-minute
Table 8
VRL Yearly
Analysis
10
% Total
51.8%
17.8%
8.6%
4.9%
2.6%
1.8%
1.5%
1.1%
0.99%
0.8%
2.2%
1.1%
4.7%
Southwest Power Pool, Inc.
OC Breach Summary (Marketplace)
Total Breach Instances
% Congested Instances
Avg Shadow Price
Avg Breach
July 2014 – June 2015
Day-Ahead
Real-Time
67
17,262
0.15%
10.3%
$328.71
$675.20
0.7%
2.76%
*Day-Ahead interval is hourly and Real-Time is 5-minute
Table 9
VRL Yearly Analysis
11
Southwest Power Pool, Inc.
Figures 3, 4, 5 and 6 depict the same data represented in Tables 6 & 7 (OC Breach Instances (EIS & Marketplace)) for each
of the time periods analyzed.
Figure 3: OC Breach Instances (Day-Ahead Marketplace)
March 2014 - June 2014
30
80%
75.0%
70%
OC Breach Instances
60%
20
50%
15
40%
30%
10
18.8%
20%
5
10%
6.3%
0.0%
0
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0%
OC Breach % Beyond Constraint Limit
VRL Yearly Analysis
12
% Total Constraint Breaches
25
Southwest Power Pool, Inc.
Figure 4: OC Breach Instances (Real-Time Marketplace)
March 2014 - June 201413
4,000
57.9%
60%
OC Breach Instances
3,000
50%
2,500
40%
2,000
30%
1,500
1,000
500
20%
16.7%
8.3%
10%
4.4%
2.2%
2.0%
1.7%
1.2%
0.8%
0.5%
1.9%
0.7%
1.6%
0
0%
OC Breach % Beyond Constraint Limit
VRL Yearly Analysis
13
% Total Constraint Breaches
3,500
70%
Southwest Power Pool, Inc.
Figure 5: OC Breach Instances Day-Ahead Marketplace
July 2014 - June 2015
60
90%
82.1%
80%
70%
40
60%
50%
30
40%
20
30%
16.4%
20%
10
10%
0.0% 0.0% 0.0%
0.0%
0.0%
0.0% 0.0%
0
1% or 1-2%
Less
2-3%
3-4%
4-5%
5-6%
6-7%
7-8%
0.0%
1.5%
0.0%
0.0%
8-9% 9-10% 10-15%15-20% 20%+
OC Breach % Beyond Flowgate Limit
VRL Yearly Analysis
14
0%
% Total Flowgate Breaches
OC Binding Instances
50
Southwest Power Pool, Inc.
Figure 6: OC Breach Instances Real Time Marketplace
July 2014 - June 2015
10000
60%
9000
51.8%
OC Binding Instances
7000
40%
6000
5000
4000
30%
17.8%
20%
3000
2000
1000
8.6%
4.9%
10%
2.6%
1.8% 1.5% 1.1%
1.0% 0.8% 2.2% 1.1%
4.7%
0
0%
OC Breach % Beyond Flowgate Limit
VRL Yearly Analysis
15
% Total Flowgate Breaches
50%
8000
Southwest Power Pool, Inc.
Tables 9 & 10 show the number of binding intervals and shadow price range for the Marketplace. For
Real-Time, a binding interval is defined as a 5-minute interval where the flow across the constraint
exactly equals the limit of the constraint. Day-Ahead in the Marketplace is for a 1-hour interval. Price
separation occurs and is reported because the algorithms look for the next lowest cost segment of the
next available unit. The cost associated with the displacement of the initial marginal unit is the
incremental cost to calculate a penalty free LMP. Tables 11 & 12 show the summary of binding
instances for the Marketplace.
OC Binding Instances (Marketplace)
Mar 2014 – Jun 2014
Day-Ahead
$0 - $100
$100 - $200
$200 - $300
$300 - $400
$400 +
Total
Count
8,861
1,378
716
199
31
11,185
Avg/Month
2,215.3
344.5
179.0
49.8
7.8
Real-Time
% Total
79.2%
12.3%
6.4%
1.8%
0.3%
Count
21,131
9,698
8,031
4,621
2,699
46,180
Avg/Month
5,282.8
2,424.5
2,007.8
1,155.3
674.8
% Total
45.8%
21.0%
17.4%
10.0%
5.8%
*Day-Ahead interval is hourly and Real-Time is 5-minute
Table 9
OC Binding Instances (Marketplace)
July 2014 – June 2015
Day-Ahead
Count
$0 - $100
$100 - $200
$200 - $300
$300 - $400
$400 +
Total
Avg/Month
Real-Time
% Total
79.2%
12.3%
6.4%
1.8%
0.3%
39375
3028.8
3548
295.7
764
63.7
202
16.8
52
6.5
43941
*Day-Ahead interval is hourly and Real-Time is 5-minute
Table 10
VRL Yearly
Analysis
16
Count
104462
24292
10466
6273
4146
149,639
Avg/Month
8035.5
1868.6
872.1
522.8
345.5
% Total
69.8%
16.2%
7.0%
4.1%
2.7%
Southwest Power Pool, Inc.
OC Binding Summary (Marketplace)
Total Binding Instances
Avg Shadow Price
Mar 2014 – Jun 2014
Day-Ahead
Real-Time
11,185
46,180
$59.66
$152.03
*Day-Ahead interval is hourly and Real-Time is 5-minute
Table 11
OC Binding Summary (Marketplace)
Total Binding Instances
Avg Shadow Price
July 2014 – June 2015
Day-Ahead
Real-Time
43,941
149,639
$34.44
$91.34
*Day-Ahead interval is hourly and Real-Time is 5-minute
Table 12
VRL Yearly
Analysis
17
Southwest Power Pool, Inc.
Figures 9, 10, 11, and 12 depict the same data represented in Tables 9 & 10 (OC Binding Instances) for each of the time
periods analyzed.
10,000
90%
9,000
80%
79.2%
8,000
70%
7,000
60%
6,000
50%
5,000
40%
4,000
30%
3,000
2,000
20%
12.3%
6.4%
1,000
1.8%
10%
0.3%
0
0%
$0 - $100
VRL Yearly Analysis
$100 - $200
$200 - $300
$300 - $400
$400+
18
% Total OC Binding Instances by SP
Total OC Binding Instances by Shadow Price
Figure 9: Total OC Binding Instances by Shadow Price (Day-Ahead)
Southwest Power Pool, Inc.
25,000
50%
45.8%
45%
20,000
40%
35%
15,000
30%
25%
21.0%
17.4%
10,000
20%
15%
10.0%
5,000
10%
5.8%
5%
0
0%
$0 - $100
VRL Yearly Analysis
$100 - $200
$200 - $300
$300 - $400
$400+
19
% Total OC Binding Instances by SP
Total OC Binding Instances by Shadow Price
Figure 10: Total OC Binding Instances by Shadow Price (Real-Time)
Southwest Power Pool, Inc.
45000
100%
90%
89.6%
40000
80%
35000
70%
30000
60%
25000
50%
20000
40%
15000
30%
10000
20%
8.1%
5000
1.7%
0.5%
10%
0.1%
0
0%
$0 - $100
VRL Yearly Analysis
$100 - $200
$200 - $300
$300 - $400
$400+
20
% Total OC Binding Instances by SP
Total OC Binding Instances by Shadow Price
Figure 11: Total OC Binding Instances by Shadow Price (Day-Ahead)
Southwest Power Pool, Inc.
120000
80%
70%
69.8%
100000
60%
80000
50%
60000
40%
30%
40000
16.2%
20000
20%
7.0%
4.2%
2.8%
0
0%
$0 - $100
VRL Yearly Analysis
10%
$100 - $200
$200 - $300
$300 - $400
$400+
1
% Total OC Binding Instances by SP
Total OC Binding Instances by Shadow Price
Figure 12: Total OC Binding Instances by Shadow Price (Real-Time)
Southwest Power Pool, Inc.
VRL Yearly Analysis
2