Bidding Aggregated Flexibility in European Electricity Auctions

Abstract: Bidding flexibility in day-ahead and intraday auctions would enable decentralized flexible resources, such as electric vehicles and heat pumps, to efficiently align their consumption with the intermittent generation of renewable energy. However, because these resources are individually too small to participate in those auctions directly, an aggregator (e.g., a utility) must act on their behalf. This requires aggregating many decentralized resources, which is a computationally challenging task. In this paper, we propose a computationally efficient and highly accurate method that is readily applicable to European day-ahead and intraday auctions. Distinct from existing methods, we aggregate only economically relevant power profiles, identified through price forecasts. The resulting flexibility is then conveyed to the market operator via exclusive groups of block bids. We evaluate our method for a utility serving the Swiss town of Losone, where flexibility from multiple heat pumps distributed across the grid must be aggregated and bid in the Swiss day-ahead auction. Results show that our method aggregates accurately, achieving 98% of the theoretically possible cost savings. This aggregation accuracy remains stable even as the number of heat pumps increases, while computation time grows only linearly, demonstrating strong scalability.