System Imbalance Price forecasts updated every minute from Gate Closure to SP end that beats the traded APX market
The VuePoint SIP forecast service applies advanced machine learning to forecast the Net Imbalance Volume and then simulate the System Operators resulting in balancing actions accounting for BMU dynamic constraints and non-BM balancing actions.
SIP Forecast Model Features
Extending the VuePoint Live SIP
For many years VuePoint has calculated the Live SIP which calculates the SIP from all reported BM and BSAD balancing actions. The calculation is very close to 100% accuracy once all balancing actions are reported which is usually 20 minutes after the end of a Settlement Period. However, at Trading Gate Closure (15 minutes before the start of a Settlement Period) a significant proportion of balancing actions are not yet known so accuracy is not as good. The SIP Forecast Model enhances the Live SIP calculation by forecasting the NIV and the future balancing actions the SO might take then applies our proven SIP calculation logic.
24/7 delivery updated in real-time from Gate Closure
The SIP forecast model runs 24/7/365 for every settlement period from a few minutes after Gate Closure until the end of each settlement period.
Machine Learning NIV forecasts
Employing back propagation and Kohonen neural networks VuePoint’s model uses all available system data along with sophisticated behavioural analysis to predict the outturn NIV. Our behavioural model identifies typical balancing action profiles to extend the balancing actions taken so far to a final NIV ensuring our NIV forecasts converge to outturn NIV’s. We also model a shadow stack of non BM balancing actions available to the SO in each Settlement Period to ensure our behavioural tracks closely match outturn balancing action profiles.
Accounting for BMU Dynamic Constraints
Every BMU is modelled to produce an envelope of future output levels accounting for that BMU’s dynamic constraints including ramp rates, minimum zero and non-zero times, notification times and maximum export limits. These envelopes are updated every minute and used to scale the bid and offer data submitted at gate closure to produce actual available bid and offer volumes for each settlement period. We also deduce implied Bid/Offer Acceptances not yet reported where a BMU is unable to return to its FPN due to dynamic constraints.
NIV sensitivities and SIP ladder
Three NIV forecasts are produced, base high and low. High and low forecasts incorporate unplanned outage modelling, embedded generation models and NDF forecast errors. SIP forecasts are produced for each NIV scenario delivering an envelope of outturn SIP’s that captures over 95% of outturn SIP’s
VuePoint also calculates the forecast SIP at a range of outturn NIV’s from -2,500 to +2,500 to allow users to see what SIP corresponds to their view of the outturn NIV and the sensitivity of the SIP to deviations in outturn NIV.
Underneath the headline NIV and SIP forecasts is a wealth of detail. For each SIP forecast we show the full stack of accepted bids and offers including actual BOA’s and BSAD, implied BOA and forecast BOA and BSAD actions. We also show the BMU level calculated instantaneous output and potential future output envelope.
VuePoint’s SIP forecast service is delivered as a SaaS, which means the service is fully hosted and can be operational in under 24 hours. All you need is a browser and an internet connection or you can integrate the complete SIP Forecast dataset in real time to your own systems using our API. The service is designed to be viewable on any device; desktop, tablet or mobile phone. We deliver our services as a SaaS because of the advantages it offers to you and your customers: Flexibility. Ease of access. The speed of service updates. The simplicity of support and administration, as well as a Reduced Total Cost of Ownership.