Annual power purchase strategy considering multi-period sequential trading risks

doi:10.11930/j.issn.1004-9649.202508012

Abstract

Abstract:

As a result of the sequential trading process, the decision-making of power purchasers is intercoupled across different trading periods. Therefore, power purchasers need to consider the trading risks in each period comprehensively and make power purchase decisions sequentially. However, the current power purchase strategies fail to consider the differences in the risks of power purchase costs across multiple trading periods, nor do they consider the intercoupling of multi-period power purchase decisions in the sequential trading process. To address this issue, this paper proposes an annual power purchase strategy considering the risks of multi-period sequential trading for power purchasers with a certain capacity for flexible regulation. Firstly, a set of multi-period scenarios is constructed, and the multi-period sequential trading risks are characterized based on the coupling relationships of multi-period sequential trading. Then, in accordance with the relevant provisions of the Shanxi electricity market, an annual electricity purchase decision-making model considering the risks of multi-period sequential trading is established. Finally, a case study is conducted to investigate the role of flexible resources in reducing electricity purchase costs and avoiding risks under the multi-period trading mechanism, as well as to analyze the impact of the scale of flexible resources on the allocation of electricity volume in each trading period.The results show that, compared with the strategy of allocating power volume among trading periods at a fixed ratio, the proposed strategy can reduce the annual power purchase cost by 1.65% and the annual power purchase risk by 1.41%.

Key words: conditional value-at-risk (CVaR), medium- and long-term electricity market, multi-period trading, sequential trading, trading risks

LIN Guoxin, ZHANG Chao, FENG Kai, MA Jiahao, ZHANG Ning. Annual power purchase strategy considering multi-period sequential trading risks[J]. Electric Power, 2026, 59(3): 84-93.

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URL: https://www.electricpower.com.cn/EN/10.11930/j.issn.1004-9649.202508012

https://www.electricpower.com.cn/EN/Y2026/V59/I3/84

Figures/Tables 7

Fig.1 Schematic diagram of the annual - monthly - day ahead sequential trading decision process

Fig.2 Framework of annual power purchase strategy considering multi-period sequential trading risks

Table 1 Comparison of costs, relative deviations and risks of annual power purchase

决策	全年购电成本/亿元	全年购电成本与事后最优决策的相对偏差/%	全年购电风险/亿元
经验决策	2.125	4.58	2.765
月度-现货两阶段决策	2.173	6.94	3.088
$ \beta =0.2 $时所提决策	2.090	2.85	2.726
$ \beta =0 $时所提决策	2.067	1.72	2.875
事后最优决策	2.032

Fig.3 Comparison of annual power purchase costs and risks of proposed strategy under different risk aversion coefficients

Fig.4 Comparison of power purchase among trading periods under different risk aversion coefficients

Fig.5 Comparison of annual power purchase costs and risks of proposed strategy under different scales of flexible resources and different risk aversion coefficients

Table 2 Comparison of power purchase among trading periods under different scales and proportions of flexible resources

灵活性资源规模与占比	年度交易总购电量/ (GW·h)	月度交易总购电量/ (GW·h)	日前交易总购电量/ (GW·h)
0 MW/0 MW·h（0%）	579.10	263.40	140.24
10 MW/40 MW·h（10%）	586.74	260.67	145.70
20 MW/80 MW·h（20%）	592.75	259.00	153.12
30 MW/120 MW·h（30%）	595.53	256.63	162.86
40 MW/160 MW·h（40%）	598.17	254.63	171.04
50 MW/200 MW·h（50%）	602.48	251.72	177.45

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