Continuous Intraday Trading: An Open-Source Multi-Market Bidding Framework for Energy Storage Systems

The increasing integration of renewable energy sources and the growing need for flexibility have made trading opportunities close to delivery increasingly important in European energy markets.This shift creates new profit opportunities for market participants, such as energy storage systems, which capitalise on temporal price differences.However, it also necessitates effective coordination across multiple markets-a significant challenge, particularly with continuous intraday trading.To address this, we propose an opensource, implementable framework for multi-market bidding under uncertainty designed to increase the profitability of energy storage systems through enhanced coordination.Specifically, we consider two spot markets: the day-ahead market and continuous intraday trading.By exploring varying degrees of market coordination with mixed integer linear optimisation, a rolling intrinsic algorithm and deep reinforcement learning, we discuss its ability to capture the benefits of multi-market participation.Already, a myopic multimarket approach that combines the day-ahead market and continuous intraday trading shows decreased risk at similar profit levels.The anticipation of rolling intraday profits, called coordinated multimarket bidding, remains a challenging task, but we present cases in which it starts to become beneficial.Most notably, we provide an open-source framework to further analyse the market dynamics.