Algorithmic trading of real-time electricity with machine learning

Algorithmic trading is becoming the dominant approach in many electricity spot and futures markets. This paper focuses on the emerging interest in the less documented real-time imbalance markets, by developing reinforcement learning agents to find profit-making opportunities algorithmically. We develop a repeatable experimental setting to compare different market participants and explore the applications of Q-learning with neural networks for three types of market participants: a non-physical trader, a gas generator, and a battery electricity storage system. We backtest all three agents using British data across summer and winter months to compare their profits, risks and various experimental design considerations.