The KYOS Battery Index reports cashflows in a specific past month for the
defined battery and market. The index is a single value per market and expressed in EUR/MW/day.
The data sources are: EPEX (ID1) for NL, BE, DE, GB. TenneT, Elia and Elexon for Imbalance in
NL, BE and GB. OMIE for ES.
Intraday trading is done with perfect foresight of the prices, based on dynamic programming
optimization. This means the battery charges/discharges in the optimal moments.
The passive imbalance trading strategy creates a short (or long) position whenever the
forecasted IB take (feed) price in the next hour falls (rises) sufficiently below (above) recent
IB take (feed) prices. The thresholds are defined independently for each market in a way that it
maximizes the revenue.
A multi-linear regression based on historical imbalance and intraday prices is used to generate
the imbalance price forecasts. The income from passive imbalance trading is calculated on the
imbalances times the actual imbalance prices.
To explain the interaction with the intraday market, pretend there are two independent traders operating
in each market:
Intraday Trader: This trader optimizes battery dispatch based on expected price
developments in the intraday market. The primary trader's decisions are made 1 hour ahead of the
imbalance trader.
Imbalance Trader: After the primary trader makes her decision, the imbalance trader
reviews the battery's current state and the primary trader's positions. He then decides on trades based
on recent imbalance prices and forecasts for the next period.
Finally, the imbalance trader must ensure that any trades he makes do not exceed the battery's capacity
limits. He updates the primary trader on the new state of charge, which she will consider in her next
decision-making cycle.
