Intraday Market
The intraday market opens after the day-ahead market has been cleared, providing a platform for continuous power trading closer to the time of delivery. It allows market participants to fine-tune their energy positions based on more accurate, short-term information.
Key Functions
The primary role of the intraday market is to enable buyers and sellers to react to unforeseen events and updated forecasts. Participants can adjust their commitments in response to:
- Changes in demand forecasts.
- Fluctuations in generation from intermittent renewable sources like wind and solar.
- Unexpected power plant outages or other grid disturbances.
This flexibility is crucial for maintaining a stable balance between electricity supply and demand.
Trading and Pricing Mechanism
Trading on the intraday market is continuous and can be done for intervals as short as 15 minutes. A deal is finalized the moment a buyer's bid matches a seller's offer, and trading for a specific delivery period continues until a "gate closure" time, typically just 5 minutes before physical delivery.
Intraday Continuous Temporal Arbitrage
Intraday continuous temporal arbitrage is a trading strategy that exploits temporary price inefficiencies in the intraday continuous electricity market by buying and selling the same delivery product at different points in time. The strategy aims to capture short-term price spreads while maintaining a net-zero position before physical delivery, thereby avoiding overnight or long-term market exposure.
In practice, a trader or optimisation system purchases a specific delivery contract, for example, a 15-minute power block scheduled for later in the day, when market prices are temporarily low, and subsequently offsets the position by selling the exact same delivery block when prices increase. Since the buy and sell transactions correspond to the same delivery period, the final net position remains 0 MW, meaning there is no physical delivery obligation while the realised price spread is retained as profit.
Application for Battery Energy Storage Systems (BESS)
For Battery Energy Storage System (BESS) operators, intraday continuous temporal arbitrage provides an additional revenue stream without requiring long-duration energy commitments. Batteries can exploit short-term market volatility by charging during low-price intervals and discharging during higher-price periods, while still preserving operational flexibility for ancillary services, balancing markets, or other optimisation strategies.
Market Relevance
This strategy is particularly relevant in power systems with high renewable energy penetration, where frequent forecast updates for wind and solar generation create rapid intraday price fluctuations. As renewable variability increases, temporary market imbalances become more common, generating trading opportunities that can be captured through fast and automated optimisation algorithms.