Optimizing the marketing of flexibility for a virtual battery in day-ahead and balancing markets: A rolling horizon case study

Industrial electricity consumers with flexible demand can profit from adjusting their load to short-term prices or by providing balancing services to the grid. Markets which support this kind of short-term position adjustment are the day-ahead market and balancing markets. We propose a formulation for a combined optimization model that computes an optimal distribution of flexibility between the balancing and day-ahead markets. The optimal solution also includes the specific bids for the day-ahead and balancing markets. Besides the expected profits of each market and their different rules for bidding, our model also takes their different roles in a continuous marketing of flexibility into account. To prevent overrating short-term profits we introduce a variable penalty term that adds a cost to unfavorable load schedules. We evaluate the optimization model in a rolling horizon case study based on the setting of a virtual battery at TRIMET Aluminum SE, which is derived from a flexible aluminum electrolysis process. For such a battery we compute a daily optimal split of flexibility and trading decisions based on data in the period 04/2021–03/2022. We show that the optimal split is more profitable than using only one market or a fixed split between the markets. •We evaluate the strategy by the obtained profits between April 2021 to March 2022•Our methods perform well in a quickly changing markets•We illustrate the rising value of flexibility in periods with high prices/volatility•Day-ahead and the balancing markets fulfill different rolling horizon roles