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Day-ahead price sources

· 3 min read
Dr. Anja Vinzelberg

Use visualisation to spot patterns

In this blog, we present some of our data sources for power day-ahead prices and volumes in our visualisation tools.

Day-ahead prices and volumes

Day-ahead prices, also known as spot prices are the prices at which electricity is traded for delivery the following day. They represent the current market value of electricity and are determined through the interaction of supply and demand. Day-ahead volumes are the appropriate volumes that got traded with delivery the following day.

Data vendors

Our data team is constantly writing data loaders to add new data sources to our database. Data for any kind of granularity or frequency. For electricity's day-ahead hourly time series we collect price and volume data from all over the world. Here is a list of some of the data vendors we load the data for:

Let's pick three from the list (OTE, BSP, HUPX) to dive into some details.

Visualisation as timeseries

Visualizing the timeseries of the day-head hourly prices for the time period 06-13 May 2023 using the ODSL Excel-Addin

The day-ahead prices are quite close for the chosen time horizon. Calculating the exact correlations using the appropriate ODSL function gives back values of unsurprisingly 97-99%.

The day-ahead hourly volumes do not show such a common pattern:

Visualisation as forward curves

Visualizing the day-ahead prices as a red line for OTE (Czech) and as a blue line for BSP (Slovenia) as hourly forward curve tenors for the 15 May 2023 using the ODSL Web-Portal

Whereas the prices match perfectly for the first hours of the day, they differ in the second half of the day.

The day-ahead hourly volumes the forward curve looks like:

Next steps

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Further Reading