Optimal offering strategy for an aggregator across multiple products of European day-ahead market

Yogesh Pipada Sunil Kumar, S. Ali Pourmousavi, Markus Wagner, Jon A.R. Liisberg

Research output: Chapter in Book/Report/Conference proceedingConference PaperResearchpeer-review


Most literature surrounding optimal bidding strategies for aggregators in European day-ahead market (DAM) considers only hourly orders. While other order types (e.g., block orders) may better represent the temporal characteristics of certain sources of flexibility (e.g., behind-the-meter flexibility), the increased combinations from these orders make it hard to develop a tractable optimization formulation. Thus, our aim in this paper is to develop a tractable optimal offering strategy for flexibility aggregators in the European DAM (a.k.a. Elspot) considering these orders. Towards this, we employ a price-based mechanism of procuring flexibility and place hourly and regular block orders in the market. We develop two mixed-integer bi-linear programs: 1) a brute force formulation for validation and 2) a novel formulation based on logical constraints. To evaluate the performance of these formulations, we proposed a generic flexibility model for an aggregated cluster of prosumers that considers the prosumers' responsiveness, inter-temporal dependencies, and seasonal and diurnal variations. The simulation results show that the proposed model significantly outperforms the brute force model in terms of computation speed. Also, we observed that using block orders has potential for profitability of an aggregator.

Original languageEnglish
Title of host publicationProceedings of 2022 IEEE PES Innovative Smart Grid Technologies Conference Europe (ISGT-Europe 2022)
EditorsLuka Strezoski, Boris Dumnic
Place of PublicationPiscataway NJ USA
PublisherIEEE, Institute of Electrical and Electronics Engineers
Number of pages6
ISBN (Electronic)9781665480321
ISBN (Print)9781665480338
Publication statusPublished - 2022
Externally publishedYes
EventIEEE/PES Innovative Smart Grid Technologies Conference Europe 2022 - Novi Sad, Serbia
Duration: 10 Oct 202212 Oct 2022
https://ieeexplore.ieee.org/xpl/conhome/9960142/proceeding (Proceedings)
https://attend.ieee.org/isgt-europe-2022/ (Website)


ConferenceIEEE/PES Innovative Smart Grid Technologies Conference Europe 2022
Abbreviated titleISGT-Europe 2022
CityNovi Sad
Internet address


  • aggregator
  • block orders
  • demand side flexibility
  • electricity market
  • mixed integer programming

Cite this