German Intraday Electricity Market Analysis and Modeling Based on the Limit Order Book

Abstract

This paper presents a market model for the EPEX SPOT German continuous intraday market for electric power trading based on the limit order book (LOB). We use the EPEX SPOT M7 order book data, which contains all orders submitted to the German continuous intraday market, to simulate the historic course of the market. Thereby, we reconstruct the complete state of the LOB at every point in (trading) time. We validate our simulation by comparing the transactions that our simulation generated with the actual historical transactions available from a different data set. The LOB based market model can be used to include price volatility risk and illiquidity risk when simulating trading at the EPEX SPOT continuous intraday market. Furthermore, we present all preprocessing steps and decision rules necessary to correctly identify orders from the often ambiguous EPEX SPOT M7 order book data.

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