JP2004272441A

JP2004272441A - Agreement processing method and agreement processor for exchange system

Info

Publication number: JP2004272441A
Application number: JP2003059911A
Authority: JP
Inventors: Toshiyuki Sawa; 澤　　敏之; Mitsuo Tsurugai; 満男鶴貝; Yasuo Sato; 康生佐藤; Shigeya Sugiyama; 茂也杉山; Yuji Nakada; 祐司中田; Mario Uesugi; 萬里夫上杉
Original assignee: Hitachi Ltd
Current assignee: Hitachi Ltd
Priority date: 2003-03-06
Filing date: 2003-03-06
Publication date: 2004-09-30

Abstract

<P>PROBLEM TO BE SOLVED: To provide the agreement processing method and agreement processor of an electric power transaction system for making selling/purchasing orders reach agreement to maximize social benefits. <P>SOLUTION: An objective function in which demand/supply balance constraint, the upper limit constraint of agreement quantity, the reduction of power due to a power flow constraint and a power supply loss, the increase of a selling order price and the increase of the selling order price due to a consignment charge are considered in linear forms is formulated in the linear forms so that the agreement quantity of the selling/purchasing orders can be decided to maximize social benefits. <P>COPYRIGHT: (C)2004,JPO&NCIPI

Description

【０００１】
【発明の属する技術分野】
本発明は取引所参加者から受け付けた商品の売買注文を取引所で社会利益を最大化するように制約・約定させる取引所システムの約定処理方法および約定処理装置に関する。
【０００２】
【従来の技術】
電力を売買する仕組みとして、中央給電連絡指令所の中で実施される「経済融通斡旋システム」による経済融通取引がある。この取引に参加者できるのは一般電気事業者、特定規模電気事業者（ＰＰＳ）である。
【０００３】
経済融通斡旋システムの約定方法は、電気事業連合会のＷｅｂページｈｔｔｐ：／／ｗｗｗ．ｆｅｐｃ．ｏｒ．ｊｐ／ｂｒｉｅｆ／１４８／１４８＿０２０３．ｈｔｍｌ）や電力自由化について審議している総合資源エネルギー調査会の電気事業分科会の資料（ｈｔｔｐ：／／ｗｗｗ．ｍｅｔｉ．ｇｏ．ｊｐ／ｐｏｌｉｃｙ／ｅｌｅｃｔｒｉｃｐｏｗｅｒ＿ｐａｒｔｉａｌｌｉｂｅｒａｌｉｚａｔｉｏｎ／ｂｕｎｋａｋａｉ／９ｔｈ／９ｔｈｓｉｒｙｏｕ３．ｐｄｆ）に公開されている。この方法では、送電ロス、連系線費用を考慮したとき、売り注文から買い注文の売買単価を引いた単価差が大きいもの同士を約定させるプロセスを、単価差がゼロ以上となるものがなくなるまで繰り返していた。
【０００４】
この方法は、約定相手を順次決めているだけで終了している。したがって、例えば、図４に示す例では単価差がもっとも大きいエリア２の売り注文Ｇ２とエリア１の買い注文Ｌ１を約定させる。次に単価差が大きいエリア１の売り注文Ｇ１とエリア２の買い注文Ｌ２を約定させる。
【０００５】
この２組の約定した売買注文では、エリア１とエリア２との間で正逆両方向の電力の流れが契約上存在するために、連系線を利用する振替料金の増大、連系線の送電ロスの増大および約定量の減少が生じ、取引参加者の費用が必要以上に増加することになる。
【０００６】
また、電力会社（一般電気事業者）は連系線に流れる電力を計画値となるように制御するため、上記のような従来手法による方法を用いた約定結果に基づいて作成した連系線潮流の計画値を設定すると物理的な送電ロスが増大することになる。
【０００７】
【非特許文献１】
ｈｔｔｐ：／／ｗｗｗ．ｆｅｐｃ．ｏｒ．ｊｐ／ｂｒｉｅｆ／１４８／１４８＿０２０３．ｈｔｍｌ）
【非特許文献２】
（ｈｔｔｐ：／／ｗｗｗ．ｍｅｔｉ．ｇｏ．ｊｐ／ｐｏｌｉｃｙ／ｅｌｅｃｔｒｉｃｐｏｗｅｒ＿
ｐａｒｔｉａｌｌｉｂｅｒａｌｉｚａｔｉｏｎ／ｂｕｎｋａｋａｉ／９ｔｈ／９ｔｈｓｉｒｙｏｕ３．ｐｄｆ）
【０００８】
【発明が解決しようとする課題】
２００２年１２月２７日の総合資源エネルギー調査会の電気事業分科会の中間とりまとめにおいて、２００５年にも新たに卸売り電力の電力取引所が創設される方針が示された。電力取引の特徴として、発電所で発電した電力は送電ロスがあるため需要家に届く電力量は減少している。
【０００９】
また、発電地点から需要地点まで電力会社（一般電気事業者）の送電ネットワークを使用すると契約上の託送料金が必要となる。電力取引においては契約上のエリア内の地内送電ロス、託送料金（接続料金）やエリア間の系統を結ぶいわゆる連系線を通過するときの送電ロス、託送料金（振替料金）も、エリア毎、連系線毎に違う。
【００１０】
また、連系線に追加して電力を流せる空き容量には制限があるので、この制限以内にする必要がある。これまで述べてきたエリアは、現時点においては一般電気事業者が制御する電力系統の範囲のことであり、またエリア内の託送料金は取引所取引の外枠で課金されるため取引所では考慮する必要がない。
【００１１】
本発明の目的は、エリア間の送電線の空き容量を考慮して、約定したとき買い注文者が支払う上限金額（約定量×買い注文価格）から約定したとき売り注文者が受け取る下限金額（約定量×売り注文価格）と約定した売買注文の電力の受け渡しに伴う費用（送電ロス、託送料金）を差し引いた社会利益を最大化するように売買注文を約定させる取引所システムの約定処理方法および約定処理装置を提供することである。
【００１２】
【課題を解決するための手段】
本発明は、エリア間の送電線に流れる電力量はその送電線の空き容量以下、約定する売り注文総量は約定する買い注文総量に送電ロスを加えた値に等しいという需給バランス、約定する各売り注文の約定量はその売り注文の注文量以下および約定する各買い注文の約定量はその買い注文の注文量以下という制約条件と約定したとき買い注文者が支払う上限金額（約定量×買い注文価格）から約定したとき売り注文者が受け取る下限金額（約定量×売り注文価格）と約定した売買注文の電力の受け渡しに伴う費用（送電ロス、託送料金）を差し引いた社会利益を最大化すべき目的関数とした線形計画問題とし、線形計画問題を解く解法を用いた取引所システムの約定処理方法および約定処理装置により売買注文を約定させるものである。
【００１３】
【発明の実施の形態】
以下、本発明の一実施例を図面を参照しながら詳細に説明する。
【００１４】
図１は電力取引所システムを含む全体構成を示すブロック図、図２は取引所システムの取引処理フロー、図３は、本発明の適用対象である取引所システムの約定処理装置１での取引所システムの約定処理計算フローである。
【００１５】
図１の電力取引所システムの約定処理装置１は、演算処理部２、入力装置３、表示装置４、記憶装置５、印字装置６からなる。演算処理部２は、約定処理条件の設定等を入力、選択するための入力装置３、約定結果や市場公開情報等を表示するための表示装置４、取引参加者から受け付けた注文（注文者名、注文量、注文価格等）、約定結果および過去の約定結果等を格納しておく記憶装置５および約定結果や市場公開情報等を印刷するための印字装置６と接続されている。
【００１６】
電力取引所システムの約定処理装置１は、ネットワーク７を介して、取引参加者からの売買注文を受けたり、電力取引所が公開する市場情報を提供するために取引参加者側にある複数の売買注文端末８−１、８−２と接続されている。
【００１７】
同様に、連系線の空き容量の連絡を受ける仲立機関１０と専用回線等のネットワークを介してつながっており、取引参加者が預けてある担保金金額の連絡を受ける金融機関１１とも専用回線等のネットワークを介してつながっている。
【００１８】
演算処理部２は、取引処理部２１、取引所設定部２２、クレジット計算部２３、注文受付部２４、約定処理部２５、料金計算部２６および市場公開部２７からなる。
【００１９】
次に処理フローについて図１、図２および図３を用いて説明する。まず、最初に約定処理装置１を起動する。あらかじめ設定した時刻になると、約定処理装置１は処理ステップＳ１０１（図２）を実行する。
【００２０】
処理ステップＳ１０１では取引処理部２１が取引所設定部２２に指令することにより、記憶装置５から取引所の諸条件を読み込んで、一旦表示装置４に表示して、確認あるいは設定変更等を実施した後、記憶装置５にこれらのデータを格納する。
【００２１】
諸条件には、取引所の基本ルール、電力取引所の開場、閉場時刻、金融機関１１との情報の授受時刻、仲立機関１０との情報の授受時刻、取引参加者が注文を出すときの売買単位（最小注文量の刻み）、単位電力量当たりの売買価格の呼び値の刻み（ここでは、売買価格あるいは価格とは単位電力量あたりの料金のこととする）、担保金額に応じた売買金額の総量を規制するためのクレジットの計算式、取引参加者、取引商品がある。取引所の基本ルールには、取引所での売買注文を約定させるとき以下のことをどうするかというルールである。
【００２２】
例えば、連系線の空き容量を制約として考慮するかどうか（あらかじめ連系線の使用容量を予約してあることを前提としたときは制約として考慮不要）、託送料金（接続料金、振替料金）を考慮するかどうか、考慮するならばその価格はいくらとしているか、地内送電ロス、エリア間の振替送電ロスを考慮するかどうか、考慮するならば各エリア、エリア間でいくらとしているか、送電ロス分、託送料金を考慮して注文価格を変換するかどうか、あるいは送電ロスにより減少する電力量を一般電気事業者が補給するかどうか、するときは各エリアでいくらであるか、等である。
【００２３】
また、託送料金、送電ロス率、補給料金はエリア別で異なるだけでなく、ルールによっては時間帯別となることもある。ここでは、必要に応じて、取引参加者の新規作成、削除あるいは取扱商品（電力商品の銘柄）の新規作成、削除を実施する。
【００２４】
取引に参加するのは、一般電気事業者（発電部門、営業部門、トレーダ部門）、特定規模電気事業者（ＰＰＳ）、発電事業者（ＩＰＰ、自家発電所有者等）、トレーダ（商社、金融機関等）等である。また、取扱商品としては、翌日の３０分あるいは１時間毎の電力、１ヶ月間、３ヶ月間、年間等の中長期間のピーク電力、ベース電力等のあらかじめ決めておいた規格化されている電力商品である。
【００２５】
処理ステップＳ１０２のクレジット計算では、約定処理装置１の取引処理部２１はクレジット計算部２３に指令してクレジットを計算する。クレジット計算部２３は記憶装置５に格納してある金融機関１１との情報の授受の時刻を読み込んで、この設定してある時刻になると、取引処理部２１を介して金融機関１１のデータベースから取引参加者の口座の担保金額を確認し、本日の各取引参加者の売買金額上限となるクレジットを計算する。
【００２６】
計算したクレジットを記憶装置５に格納する。処理ステップＳ１０３の連系線空き容量受信では約定処理装置１の取引処理部２１はエリア間の送電線の空き容量を仲立機関１０のデータベースから読み込み、各送電線の空き容量を記憶装置５に格納する。
【００２７】
ここで、エリアとは現状では各一般電気事業者がコントロールする電力系統の範囲で、たとえば、電力会社である。エリアは電力取引所で扱う地内の接続料金が同一金額、エリアをまたがって電力を送るとき託送料金が必要（振替料金）、地内の送電ロス（送電損失）が同一、エリアをまたがって電力を送るとき送電ロスが必要（振替送電損失）あるいはエリアをまたがって電力を送るときの電力量の制約の考慮が必要、という要件の少なくとも１つを取引所の売買注文を約定させるときに考慮するものをエリアとする。このため、将来的には現状よりエリアが分割されて増加あるいは統合されて減少することがありうる。エリア間を結ぶ送電線を連系線と呼ぶこととする。
【００２８】
処理ステップＳ１０４の売買注文受付では、取引参加者の売買注文端末８−１，８−２からの売買注文をネットワーク７を介して、約定処理装置１で受け付けて、格納する。売買注文端末８−１，８−２では図５に示すように、取引参加者のユーザ名称、エリア名称およびクレジット残は約定処理装置１が売買注文端末番号を認識して、前記取引参加者用のデータを送信したものを表示したものであり、売買注文の入力画面のフォーマットも約定処理装置１が送信したものである。
取引参加者はトグルスイッチにより売り注文か買い注文かの選択をし、商品名称をプルダウンメニュー等で選択し、注文量および価格を入力する。入力が終わった後、送信ボタンをクリックすることにより、約定処理装置１に注文が送信されることになる。
送信された注文の受付有効期間は取引所が開場している期間で、開場時刻から閉場時刻までであり、それ以外の時刻に注文を出しても、約定処理装置１はその注文を受け付けない。
【００２９】
取引所の開場、閉場は注文受付部２４が取引処理部２５を介して、記憶装置５から取引所の開場、閉場時刻を読み込んで、その時刻になると自動的に取引所が開場し、同様に自動的に閉場する。取引所に送られる売買注文には、注文者、エリア、商品名、注文量、注文価格、注文の種類（売りまたは買い）等が含まれている。
【００３０】
取引参加者からの注文を約定処理装置１で受け付けると、その取引参加者のクレジットを記憶装置５から呼び込み、クレジット範囲内であるかどうかチェックし、範囲内であれば約定処理装置１は注文を受け付けたことをネットワーク７を介して、その注文を出した取引参加者の売買注文端末８−１，８−２に受け付けたというメッセージを送る。
【００３１】
このメッセージには取引参加者が自分が出した注文を確認できるように、取引参加者が送った売買注文の情報と注文受付番号、および残りのクレジットが含まれる。クレジットが不足する場合は、クレジットが不足していることと注文は受け付けられなかったというメッセージをその注文を出した取引参加者の売買注文端末８−１，８−２に送る。
【００３２】
注文を受け付けると、その取引参加者のクレジットを注文量と注文価格に応じて減少させる。取引所が開場中ならば取引参加者が必要に応じて、すでに出した注文の削除、変更を受け付ける。削除、変更した場合は、約定処理装置１はそれに応じて変更、削除したことおよび修正したクレジットをその取引参加者の売買注文端末８−１，８−２に送る。以上の処理で、売買注文を約定させるためのデータ、情報がそろったことになる。
【００３３】
次に、処理ステップＳ１０５約定計算では、約定処理部２５が取引処理部２１を介して、記憶装置５にある取引参加者から受け付けた有効注文（削除されず、修正され場合は修正後の注文）、取引所のルール等を使って、公平で社会利益を最大化するように注文の約定処理を行い、約定処理の結果を記憶装置５に格納する。
【００３４】
処理ステップＳ１０５の約定処理を詳細にした図３に示すフローを用いて、処理ステップＳ１０５の約定処理を説明する。処理ステップＳ２０１の有効データの取り込みでは、記憶装置５にある有効な注文データを約定処理部２５に取り込む。
【００３５】
処理ステップＳ２０２の計算条件の読み込みと設定では、記憶装置５から約定処理部２５に取引参加者が注文を出すときの売買単位、単位電力量当たりの売買価格の呼び値の刻み、託送料金と送電ロス率、一般電気事業者による補給する方法かどうか、あるいは受け渡し費用を売り注文の価格に組み込むか受け渡し費用を買い注文の価格に組み込むか等の取引所の基本ルールを読み込む。
【００３６】
また、線形計画問題に定式化して問題を解きやすいように、図６で設定した条件を利用する。受け付けた売買注文が取引所で約定するかどうか決めるとき使用する注文を集約する条件を図６のように画面表示して、必要に応じて変更する。
【００３７】
処理ステップＳ２０３の前処理では図６で設定した値を線形計画問題に定式化し、使用するために、注文の集約、売買注文価格の一時的な修正を行う。図６のエリア１の買い注文が価格１５円／ｋＷｈとなっているのは、エリア１での１５円／ｋＷｈ以上の買い注文価格の買い注文を１つに集約した買い注文とする。
【００３８】
この集約した買い注文には、合計の買い注文量と買い注文価格１５円／ｋＷｈとする。集約した買い注文には、元になった各々の買い注文の情報が含まれている。逆に、図６のエリア１の売り注文が価格６円／ｋＷｈとなっているのは、エリア１での６円／ｋＷｈ以下の売り注文価格の売り注文を１つに集約した売り注文とする。
【００３９】
この集約した売り注文には、合計の売り注文量と売り注文価格６円／ｋＷｈとする。集約した売り注文には、元になった各々の売り注文の情報が含まれている。これらの値は前日等の至近の取引所で約定した売り注文価格、買い注文価格を参考にして、取引所の運営者が値を設定する。売り注文と買い注文の価格が同一の注文価値（売り注文か買い注文の一方を相手の地点に受け渡すときの価格に換算した価格）のとき、両者が約定するようにするために設定する。社会利益（ＳｏｃｉａｌＢｅｎｅｆｉｔ）としては、同一価値の売買注文を約定させたほうが、約定量が増加して、希望の価格以上で売ることができる、希望の価格以下で買うことができるという取引参加者が増えることになる。
処理ステップＳ２０４の約定候補の決定では取引所で約定する注文の候補を決定する。この処理では、注文価格、注文量、連系線の空き容量を考慮して、電力系統の運用制約を守り、取引参加者が出した注文条件を満たす注文候補を決定する。ここでは、どの売り注文とどの買い注文を付け合わせるかは決めない。
【００４０】
また、同一価値の注文（証券の同一注文に相当）のうち、一部しか約定しないケースがあり得るので約定候補としている。東京証券取引所の開場、閉場時の板寄せ方式による約定については、時間優先ではなく、価格優先となる。この証券取引所での約定価格で満足する売り注文量と買い注文量が一致しないときは、「同一注文」と見なされ、売り注文量と買い注文量で多い方の注文のどれに配分するかを決める必要がある。
【００４１】
取引参加者が出した注文条件とは、図５の例では、価格１０．０２円／ｋＷｈ以下で最大１００ｋＷｈ買いたいと言うことである。例えば、９．８０円／ｋＷｈの価格で約定するならば、注文した取引参加者は満足することになる。取引所の約定ルールにより、線形計画問題への定式化が異なる。
【００４２】
しかし、一般的に、電力取引所では送電ロス電力量、託送料金は電力量に比例するようにしているので、電力系統の制約、売買注文の制約を考慮して売買注文を約定させる問題は線形計画問題に定式化できる。このときの目的関数は社会利益の最大化となる。
【００４３】
ここでの社会利益は、約定した買い注文者が最大で支払う金額から約定した売り注文者が受け取る金額を引いた金額を最大化することである。これは、買い注文の価格から受け渡し費用を考慮して変換した売り注文の価格を引いた単価差が大きいものから順に取引所で約定させ、単価差がプラスの間だけ繰り返すことに相当する。但し、受け渡し費用として、地点による送電ロス、託送料金があるため、約定の順序により送電ロス、託送料金が増大してしまうことがある。
【００４４】
まず、約定のルールとして、電気事業分科会の中間とりまとめで出ている案とした場合について、定式化する。送電ロスはエリアの代表電気事業者（現状では一般電気事業者）が、随時補給していくものとする。
【００４５】
図７に示す２つのエリアからなる電力系統があり、図８に示すように各エリアから売り注文（注文量Ｇ１、価格Ｐ１）と買い注文（注文量Ｇ２、価格Ｐ２）がそれぞれ１つずつ出されている例で説明する。図８に示すようにエリア１での補給料金（単価）はＱ１、エリア２ではＱ２とする。
【００４６】
図９に示すように送電損失係数をαｉｊ（エリアｉからエリアｊ方向への損失係数、損失係数は方向により相違）、振替料金をβとする。現状では実際に需要家が使用した電力量に応じて課金される仕組みとなっているので、ここでは地内の託送料金は取引所では考慮しないものとする。
【００４７】
図１０に示すように売り注文Ｇ１のうちエリア１でＧ１１、エリア２でＧ２１約定し、売り注文Ｇ２のうちエリア１でＧ２１、エリア２でＧ２２約定するものとする。また、エリア１とエリア２の間の連系線の空き容量はエリア１からエリア２へはｆ１２ｍａｘ、エリア２からエリア１へは（−ｆ２１ｍｉｎ）とする。
【００４８】
エリア１，エリア２でのそれぞれの売り注文量は（式１−１、１−２）のようにエリア１で約定した量Ｇｉ１、エリア２で約定した量Ｇｉ２および約定しなかった量Ｇｉ０の和となる。各量Ｇｉｊは正の値となることから（式２）を満たす。
【００４９】
【数１】

【００５０】
各エリアの需給バランスは一致するので（式３−１、３−２）を満たす。ここで、ｒｉはエリアｉで約定した買い注文量である。送電ロス分は一般電気事業者が補給するので、売り注文の約定量と買い注文の約定量は一致する。約定した買い注文量はもとの買い注文量以下であるので、（式４）を満たす。
【００５１】
【数２】

【００５２】
エリア１の売り注文Ｇ１の価格を送電ロスによる補給料金、振替料金を考慮して買い注文地点での価格に換算する。売り注文Ｇ１のエリア１での換算価格をＰ１１、エリア２での換算価格をＰ１２とし、売り注文Ｇ２のエリア１での換算価格をＰ２１、エリア２での換算価格をＰ２２とする。このときの、換算価格の式を（式５−１〜５−４）に示す。
【００５３】
例えば、（式５−１）の右辺の第１項は売り注文者が受け取る金額で、第２項は送電ロス分（α１１×Ｇ１１）を補給するときの金額であり、左辺は買い注文者が少なくとも支払うべき金額に相当する。
【００５４】
同様に、（式５−２）は連系線の振替料金が必要となり、右辺の第１項は売り注文者が受け取る金額で、第３項は地内の送電ロス分（α１２×Ｇ１２）を補給するときの金額であり、第２項は第３項での補給によりエリア１からエリア２へは送電ロス無しの電力量Ｇ１２が送られるときのエリア１で振替料金の金額で、第４項はエリア２での送電ロス分の補給金額であり、左辺は買い注文者が少なくとも支払うべき金額に相当する。（式５−３）、（式５−４）も同様である。
【００５５】
【数３】

【００５６】
（式５−１〜５−４）の両辺を各約定量Ｇｉｊで割ると、（式６−１〜６−４）に示すように買い地点に換算した単価が計算できる。
【００５７】
【数４】

【００５８】
約定する売買注文による連系線潮流は、（式７）となり、連系線空き容量制約から（式８）を満たす必要がある。一般電気事業者が振替の送電ロス分を補給するので、エリア１の売り注文がエリア２で約定する量そのものがエリア１からエリア２へ流れ、エリア２の売り注文がエリア１で約定する量そのものがエリア２からエリア１へ流れる。両者を差し引いたものが、この連系線に流れる潮流となる。
【００５９】
【数５】

最大化する目的関数Ｓは（式９−１）となる。右辺の第１項、第３項は買い注文者が最大で支払っても満足する金額、第２項、第４項は売り注文者が最小受け取って満足する金額を表している。（式９−２）は式（９−１）に（式３−１、３−２）を代入したときで、（式９−４）は更に（式６−１〜６−４）を代入したときである。
【００６０】
ここで、（式９−４）に着目すると、売り注文と買い注文が約定するためには、カッコの中が正の値あるいはゼロであればよい。カッコ内が正となる売買注文であれば、目的関数は増大するので約定する結果が得られる。しかし、カッコ内がゼロのときは、目的関数が増加することはないので、このときの売買注文が必ずしも約定するとは限らない。
【００６１】
【数６】

【００６２】
以上のように、制約条件および目的関数とも線形であるので、線形計画問題を解く方法、例えば線形計画法を適用することにより、目的関数Ｓを最大化する最適解を求めることができる。ここで求まるのは、各売り注文がそれぞれのエリアでどれだけ売れるかという、変数Ｇｉｊである。
【００６３】
一般に線形計画法は目的関数を最小化する問題に適用するので、（式８）にマイナスを付けて、最小化問題とすればよい。この結果、各売買注文のうち取引所と約定可能な各売買注文の約定量が決まる。以上で処理ステップＳ２０４が終了する。
【００６４】
上記では、送電ロス分を一般電気事業者が補給するときのルールでの定式化を示した。約定した売り注文の電力量が買い注文の地点に届くまでには、その電力量は減少し、その分は換算した売り注文の単価は高くなり、更に振替料金が加わることにより売り注文の単価は高くなる。
【００６５】
但し、一般電気事業者が補給するときは、取引上の電力量は授受で一致するが、補給により換算した売り注文の価格は上昇するので、ルールが違っても、基本的な考え方は同じである。このルールでの定式化をする。電力系統のエリア、売買注文、送電損失および各注文の約定量は既に示した図７から図１０と同じとする。
【００６６】
エリア１，エリア２でのそれぞれの売り注文量は（式１−１、１−２）と同様で、（式１１）のようにエリア１で約定した量Ｇｉ１、エリア２で約定した量Ｇｉ２および約定しなかった量Ｇｉ０の和となる。各量Ｇｉｊは正の値となることから（式２）を満たす。
【００６７】
【数７】

【００６８】
送電ロスを考慮すると、売り注文で電力量Ｇ１１が売れても、買い注文の地点ではそれぞれ、地内ロス、振替ロス分だけ減少した電力量が届くことになる。
【００６９】
【数８】

【００７０】
エリア１で約定した買い注文の電力量ｒ１とエリア２で約定した買い注文の電力量ｒ２は（式１４−１，１４−２）を満たす。約定量は注文量以下のため、（式１５）を満たす。
【００７１】
【数９】

【００７２】
買い地点に換算した売り注文の価格は（式１６−１、１６−２）となる。（式１６−１）は左辺の売り地点での収入と右辺の買い地点での収入が等しくなるように、売り注文の価格を買い地点での価格Ｐ１１に換算している。（式１６−２）は売り注文の価格を振替料金も考慮して買い地点での価格Ｐ１２に換算している。（式１６−３）、（式１６−４）も同様に変換している。
【００７３】
【数１０】

【００７４】
（式１７）は連系線を通る電力量を示しているが、（式７）と比べると振替送電ロス分だけ、連系線を通る電力量が減少している。
【００７５】
【数１１】

【００７６】
目的関数は下記の（式１９）となり、（式８）と同じである。
【００７７】
【数１２】

【００７８】
以上のように、制約条件および目的関数とも線形であるので、線形計画法等を適用することにより、目的関数Ｓを最大化する最適解を求めることができる。ここで求まるのは、各売り注文がそれぞれのエリアでどれだけ売れるかという、変数Ｇｉｊである。一般に線形計画法は目的関数を最小化する問題に適用するので、（式８）にマイナスを付けて、最小化問題とすればよい。この結果、各売買注文のうち取引所と約定可能な各売買注文の約定量が決まる。
【００７９】
以上でルールが異なるときの処理ステップＳ２０４が終了する。これらのルールは処理ステップＳ１０１の取引所の諸条件設定のところで決められており、ここで決められたルールの方を用いて上記の定式化を実施して、問題を解くことになる。
【００８０】
次に、処理ステップＳ２０５は同一注文があるかどうかをチェックして、ある場合はどれが同一注文かを決定する。ここで、同一注文とは、処理ステップＳ２０４の約定候補の決定処理で売り注文をあるエリアの地点での買い注文の価格に換算したとき、同一の価格であるにもかかわらず約定候補となっているものと、約定候補となっていないものがあるならば、この約定していない売り注文も約定候補とする。
【００８１】
このように売り注文間の競争で選ばれなかった注文を救済するものと、買い注文を救済するものがある。但し、換算した価格が同一であっても、連系線潮流の空き容量が不足したため、選ばれなかったものは除く必要がある。図１１に売り注文間の競争の例を示す。
【００８２】
ここでは、分かりやすくするため、連系線の振替料金を１円／ｋＷｈとし、送電ロスはないものとしている。注文量は書いていないがここでは、４つの注文とも１単位の注文量とする。処理２０４により、１０円／ｋＷｈの売り注文Ｇ１と１１円／ｋＷｈの買い注文Ｌ１が約定候補となったとする。このときの目的関数Ｓの値は１円（＝１１×１−１０×１）となる。
【００８３】
しかし、９円／ｋＷｈの売り注文Ｇ２と１１円／ｋＷｈの買い注文Ｌ１が約定しても、目的関数Ｓの値は１円（＝１１×１−９×１−１×１）となり、売り注文Ｇ１が約定したときと同じ値になる。このような、同一注文があるかどうかをチェックするために、各エリアでそれぞれ約定した最高の売り注文、約定しなかった最安の売り注文、約定した最安の買い注文、約定しなかった最高の買い注文のみを抽出する。
【００８４】
売り注文間の競争をチェックするために、抽出した中の１つの約定した売り注文と約定しなかった全ての売り注文を対象にして、あるエリア地点における買い注文価格に換算する。この換算した価格が約定した注文の価格と一致するものがあれば、その一致した注文は約定候補となる。あるいは換算した価格と換算したエリア１つの約定した買い注文との単価差を求めて、約定した買い注文と同じ単価差のものがあればその注文は約定候補となる。
【００８５】
図１２には図１１の売買注文があった時の例を示している。買い注文のエリアの下に書いてある数値が買い注文価格、売り注文のエリアの右に書いてある数値が売り注文価格であり、その内側に書いてある数値が、単価差である。エリア１の売買注文が仮約定していたときに、約定している売買注文の単価差は１であるが、同様にエリア１の買い注文とエリア２の売り注文の単価差も１であることがわかる。単価差が等しいことから、約定しなかった売り注文も約定候補であることが分かる。
【００８６】
ここで、線形計画法で解いたとき、エリア１、エリア２で他の約定する売買注文があり、このときの連系線潮流がエリア１からエリア２の方向とし、エリア１からエリア２の潮流方向のとき振替送電ロスが生じるとする。
【００８７】
このとき、売り注文Ｇ１と買い注文Ｌ１が約定候補となっているならば、売り注文Ｇ２と買い注文Ｌ１との単価差が同じになったとしても、売り注文Ｇ２は約定候補にならない。
【００８８】
なぜならば、振替ロスは潮流量に比例するため、エリア１からエリア２の方向に電力潮流が流れているならば、売り注文Ｇ２と買い注文Ｌ１が約定候補となると、元の振替ロスを減少できることになる。
【００８９】
したがって、最適解が求められているならば、単価差が同一で送電ロスが減少する解が存在するならば、そちらの解が求まっているはずであり、この解を求めていないと言うことは、エリア１では売り注文２は約定候補としてはいけないと言うことである。すなわち、この組み合わせをすると、目的関数が悪化するということになる。
【００９０】
同様に、連系線の空き容量を超えた潮流となるならば、エリア１ではその売り注文は約定する売り注文候補とすることはできない。次に買い注文側で競争するときの例を図１３、図１４に示す。エリア１の売り注文Ｇ１とエリア１の買い注文Ｌ１が約定候補となっているが、単価差を計算すると図１４より、エリア１の買い注文とエリア２の売り注文との単価差と同じになっている。
【００９１】
すなわち、単価差からすると買い注文Ｌ２も約定候補となる。売り注文側の競争の例と同じく、最終的にエリア２で買い注文Ｌ２が約定候補となるかどうかは、振替送電ロスの減少がないこと、および連系線の空き容量を超えた潮流となるならば、エリア２ではその買い注文は約定候補とすることはできない。以上により、追加する約定候補を決めることができる。
【００９２】
次に、処理ステップＳ２０６で同一注文の配分処理を行う。各エリアで売り注文の約定候補のうち２番目に高い注文以下の注文は約定が確定する。同様に各エリアの買い注文の約定候補の内２番目に安い注文以上の注文は約定が確定する。次に、同一注文となる注文については、取引所ルールに基づいて、どの注文を約定させるかを決める。
【００９３】
各エリアで同一注文があり、潮流制約のために全ての同一注文が約定しない、約定相手の注文量が上限になってしまい、どの注文を約定させるかの配分のルールが必要となる。この配分のルールの例として、そのエリアで約定できる同一注文の量と同一注文の量に比例して総量が約定できる同一注文の量となるようにする方法が考えられる。
【００９４】
処理ステップＳ２０７では、処理ステップＳ２０４で決定した売買約定候補と処理ステップＳ２０７の同一注文から配分した約定量を用いて、各注文の約定量を決めることができる。
【００９５】
処理ステップＳ２０８では、精算価格を決定する。隣接エリアから流入する電力は隣接の約定した最高の売り注文価格の電力が流入していると考える。以下では約定した注文の価格のみを使用して計算する。
【００９６】
エリアの最高の売り注文価格および隣接エリアからの流入したときはその隣接エリアの最高の売り注文価格（流入するエリアの価格に換算したもの）でもっとも高い価格がそのエリアにおける取引所と精算するときの最安の精算価格となる。同様に、エリアの最安の買い注文価格が取引所との最安の精算価格となる。
【００９７】
エリア毎に取引所と売り注文との精算価格、取引所と買い注文との精算価格を決めるものとする。このとき、各エリアの売り注文の最安精算価格とそのエリアの買い注文の最高精算価格（売り注文地点に換算した価格とする）の間であればよいので、例えば両者の中間となるように決める。以上により、各エリアの売り注文の約定価格と買い注文の約定価格が決まる。
【００９８】
以上の約定処理で計算した約定した注文とその約定量、およびエリア毎の売り注文の最安精算価格、買い注文の最高精算価格、各エリア毎の約定した売り注文の約定価格と買い注文の約定価格、各連系線の潮流、各エリアの同一注文量とその内の約定量、各エリアの約定した最高売り注文価格、約定しなかった最安の売り注文価格、各エリアの約定した最安の買い注文価格、約定しなかった最安の売り注文価格の約定結果等に関する情報を記憶装置５に格納する。
【００９９】
処理ステップＳ１０５の料金計算では、料金計算部２５は記憶装置５から各注文に対して約定価格と約定量の情報を読み込んで、各注文の精算料金を計算する。この精算料金を取引参加者毎に集計する。最終的には、１日の中で売買が成立した商品全体の精算料金を計算する。この各計算結果を記憶装置５に格納する。
【０１００】
処理ステップＳ１０７では約定結果の配布、市場情報の作成、表示を市場公開部２７により実行して、図１５、図１６、図１７、図１８、図１９および図２０を表示装置４に表示する。約定した注文を出した取引参加者に約定量および約定価格を取引処理部２１、ネットワーク７を介して、売買注文端末８−１，８−２に配布する。
【０１０１】
図１５はエリア毎の約定する最高の買い注文価格、エリア毎の約定しなかった最安の買い注文価格、エリア毎の約定する最安の売り注文価格、エリア毎の約定しなかった最高の売り注文価格、エリア毎の取引所と買い注文との精算価格（ＭＣＰ）、エリア毎の取引所と売り注文との精算価格（ＭＣＰ）の表示画面例である。
【０１０２】
図１６はエリア毎の約定した買い注文の総約定量、エリア毎の約定した売り注文の総約定量、エリア毎の約定しなかった買い注文の総約定量、エリア毎の約定しなかった売り注文の総約定量の表示画面例である。
【０１０３】
図１７はエリア毎の約定すべき買い注文価格であったが選ばれなかったため約定しなかった買い注文の総注文量と同一注文で約定した総量、エリア毎の約定すべき売り注文価格であったが選ばれなかったため約定しなかった売り注文の総注文量と同一注文で約定した総量の表示画面例である。図１８はエリア間の送電線空き容量、エリア間の送電線使用量の表示画面例である。
【０１０４】
また、ネットワーク７を介して売買注文端末８−１，８−２からの約定結果の問い合わせに対して問い合わせた取引参加者の各売買注文が約定したかどうか、約定した場合はその約定価格を返す。
【０１０５】
また、取引参加者は売買注文端末８−１，８−２から売買注文価格を入力し、エリアを指定して、計算ボタンをクリックすると、その注文価格が約定できたかどうかを判断できるように、入力した売買注文価格を託送料金、送電ロス率を考慮して各エリアの買い価格、売り価格に換算した結果および各エリアでの約定した最高の売り注文価格、各エリアでの約定した最安の買い注文価格を図１９に示す画面表示を売買注文端末８−１，８−２に表示できるようにする。これにより、取引参加者の注文した価格が約定できないことを確認できる。
【０１０６】
取引参加者が取引所閉場前に上記の問い合わせをしてきたときは、各エリアでの約定した最高の売り注文価格、各エリアでの約定した最安の買い注文価格に値を入れない状態で結果を返す。
【０１０７】
また、取引参加者の注文した価格の方がより安い売り注文価格あるいはより高い買い注文価格であるのに約定していないならば、その理由は連系線の空き容量の制約によるものであるので、図１８の連系線空き容量と使用量をもとに、約定すべきエリアまでの連系線空き容量に余裕がないことが分かる。同一注文のときは、同一注文となった取引参加者毎の注文量と約定量を図２０のように表示する。
【０１０８】
以上により、取引所システムの約定処理を終了する。
【０１０９】
【発明の効果】
以上説明したように、本発明によれば、取引所で受け付けた売買注文を線形計画問題に定式化して、社会利益最大化となるように約定する注文候補を決定するとともに、同一価値の注文の有無を確認し、この注文を考慮した最終的な約定を決定することにより、送電ロスを少なくでき、取引参加者の支出となる振替料金を少なくし、かつ、約定量を最大化する売買注文の約定量および約定価格を決定することができる。
【図面の簡単な説明】
【図１】取引所システムの約定処理装置の全体構成を示すブロック図である。
【図２】取引所システムの取引所処理フローを示す。
【図３】取引所システムの約定処理フローを示す。
【図４】約定方法の従来例を示す図である。
【図５】売買注文の入力画面の例を示す図である。
【図６】売買注文の集約条件設定画面の例を示す図である。
【図７】２つのエリアからなる電力系統の例を示す図である。
【図８】売買注文と補給料金の例を示す図である。
【図９】送電損失、振替料金の係数の例を示す図である。
【図１０】エリア１、エリア２で約定する売り注文の約定量の例を示す図である。
【図１１】同一注文となる例を示す図である。
【図１２】同一注文の単価差計算結果画面の例を示す図である。
【図１３】買い注文側で競合例を示す図である。
【図１４】同一注文の単価差計算結果画面の例を示す図である。
【図１５】画面例を示す図である。
【図１６】画面例を示す図である。
【図１７】画面例を示す図である。
【図１８】画面例を示す図である。
【図１９】画面例を示す図である。
【図２０】画面例を示す図である。
【符号の説明】
１…取引所システムの約定処理装置、２…演算処理部、３…入力装置、４…表示装置、５…記憶装置、６…印字装置、７…ネットワーク、８…売買注文端末、１０…仲立機関、１１・…金融機関。[0001]
TECHNICAL FIELD OF THE INVENTION
The present invention relates to a contract processing method and a contract processing apparatus of an exchange system for restricting and contracting a sales order for a product received from an exchange participant so as to maximize social profit on the exchange.
[0002]
[Prior art]
As a mechanism for buying and selling electric power, there is an economic financing transaction by an "economic financing system" implemented in the central power supply liaison office. Only the general electric utility and the specific-scale electric utility (PPS) can participate in this transaction.
[0003]
The contract method of the economic accommodation system is described on the website of the Federation of Electric Power Companies of Japan at http: // www. fepc. or. jp / brief / 148 / 148_0203. (http://www.meti.go.jp/policy/electricpower_partialliberalization/bunkakai/9th/9thsirford3.) Have been. In this method, when considering the transmission loss and interconnection cost, the process of contracting those units with a large unit price difference between the selling order and the buying and selling unit price of the buy order is performed until there is no one with a unit price difference of zero or more. I was repeating.
[0004]
This method is completed only by deciding the execution partner in order. Therefore, for example, in the example shown in FIG. 4, a sell order G2 in area 2 and a buy order L1 in area 1 having the largest unit price difference are executed. Next, a sell order G1 in area 1 and a buy order L2 in area 2 with the largest unit price difference are executed.
[0005]
In these two contracted trade orders, since there is a contractual flow of electric power between area 1 and area 2 in both the forward and reverse directions, the transfer fee using the interconnection line increases, and the interconnection line is transmitted. An increase in loss and a reduction in trade volume will occur, and the costs of the trading participants will increase more than necessary.
[0006]
In addition, since the electric power company (general electric power company) controls the electric power flowing through the interconnection line to a planned value, the interconnection line power flow created based on the contract result using the above-described conventional method is used. Setting the planned value of will increase the physical power transmission loss.
[0007]
[Non-patent document 1]
http: // www. fepc. or. jp / brief / 148 / 148_0203. html)
[Non-patent document 2]
(Http://www.meti.go.jp/policy/electricpower_
partialliberalization / bunkakai / 9th / 9thsilyou3. pdf)
[0008]
[Problems to be solved by the invention]
In the interim report of the Electric Power Business Subcommittee of the Comprehensive Resource and Energy Investigation Committee on December 27, 2002, it was indicated that a new power exchange for wholesale power would be established in 2005. As a characteristic of power trading, the power generated by the power plant has a transmission loss, so the amount of power reaching the customer is decreasing.
[0009]
Further, if a power transmission network of a power company (general power company) is used from a power generation point to a demand point, a contracted consignment fee is required. In electric power transactions, the transmission loss on the ground in the contracted area, the transmission fee (connection fee), the transmission loss when passing through a so-called interconnection line connecting the systems between the areas, the transmission fee (transfer fee), Different for each interconnection line.
[0010]
In addition, there is a limit on the free space that can be supplied with electric power in addition to the interconnection line. The area described so far is the range of the electric power system controlled by the general electric utility at the present time, and the exchange fee in the area is considered on the exchange because it is charged in the outer frame of the exchange transaction No need.
[0011]
An object of the present invention is to consider a lower limit amount (about a fixed amount x buy order price) to be received by a sell orderer from an upper limit amount paid by a buy orderer when contract is executed (approximately fixed amount x buy order price) in consideration of an available capacity of a transmission line between areas. (A fixed amount x sell order price) and a trade processing method and a trade system for an exchange system that fills a trade order so as to maximize a social profit by deducting costs (transmission loss, consignment fee) associated with the exchange of power of the trade order executed. It is to provide a processing device.
[0012]
[Means for Solving the Problems]
The present invention provides a demand-supply balance in which the amount of power flowing through a transmission line between areas is equal to or less than the available capacity of the transmission line, the total amount of contracted sell orders is equal to the total amount of contracted buy orders plus transmission loss, The contracted amount of the order is equal to or less than the order amount of the sell order, and the contracted amount of each buy order to be filled is equal to or less than the order amount of the buy order. )), An objective function that maximizes the social profit by subtracting the lower limit received by the sell orderer when contracted (approximately fixed amount x sell order price) and the cost of transmitting and receiving the power of the trade order (transmission loss, consignment fee). And a trade order is executed by a contract processing method and a contract processing device of an exchange system using a solution for solving the linear programming problem.
[0013]
BEST MODE FOR CARRYING OUT THE INVENTION
Hereinafter, an embodiment of the present invention will be described in detail with reference to the drawings.
[0014]
FIG. 1 is a block diagram showing an overall configuration including an electric power exchange system, FIG. 2 is a transaction processing flow of the exchange system, and FIG. 3 is an exchange in a contract processing device 1 of the exchange system to which the present invention is applied. It is a contract processing calculation flow of the system.
[0015]
The contract processing device 1 of the power exchange system of FIG. 1 includes an arithmetic processing unit 2, an input device 3, a display device 4, a storage device 5, and a printing device 6. The arithmetic processing unit 2 includes an input device 3 for inputting and selecting the setting of a contract processing condition, a display device 4 for displaying a contract result, market open information, and the like, an order received from a trading participant (orderer name). , Order quantity, order price, etc.), a contracted result, a past contracted result, etc. are stored in a storage device 5 and a contracted result, market publication information and the like printing device 6 are connected.
[0016]
The contract processing device 1 of the power exchange system receives a trading order from the trading participant via the network 7 and provides a plurality of trades on the trading participant side for providing market information disclosed by the power exchange. It is connected to order terminals 8-1 and 8-2.
[0017]
Similarly, it is connected via a network such as a dedicated line to a mediation institution 10 that is notified of the free capacity of the interconnection line, and a financial institution 11 that is notified of the amount of collateral deposited by the transaction participant is also connected to a dedicated line. Are connected via a network.
[0018]
The arithmetic processing unit 2 includes a transaction processing unit 21, an exchange setting unit 22, a credit calculation unit 23, an order reception unit 24, a contract processing unit 25, a fee calculation unit 26, and a market publication unit 27.
[0019]
Next, the processing flow will be described with reference to FIGS. First, the contract processing device 1 is started. At a preset time, the deal processor 1 executes a processing step S101 (FIG. 2).
[0020]
In processing step S101, the transaction processing unit 21 instructs the exchange setting unit 22 to read various conditions of the exchange from the storage device 5 and temporarily display them on the display device 4 to confirm or change settings. Thereafter, these data are stored in the storage device 5.
[0021]
The terms and conditions include the basic rules of the exchange, the opening and closing times of the power exchange, the time at which information is exchanged with the financial institution 11, the time at which information is exchanged with the mediation institution 10, and the trading when trading participants place orders. The unit (minimum order quantity), the quotation of the trading price per unit of electricity (here, the selling price or price is the price per unit of electricity), and the trading price according to the amount of collateral There are credit formulas, trading participants, and trading products to regulate the total amount. The basic rules of an exchange are rules for what to do when executing a trade order on the exchange.
[0022]
For example, whether to consider the free space of the interconnection line as a constraint (if it is assumed that the used capacity of the interconnection line is reserved in advance, it is not necessary to consider it as a constraint), the transfer fee (connection fee, transfer fee) Whether to consider the price, if so, how much the price is, whether to consider the on-site transmission loss, transfer transmission loss between areas, and if so, how much between each area and between areas, the amount of transmission loss Whether the order price is converted in consideration of the consignment fee, whether the general electric utility replenishes the amount of power reduced by the power transmission loss, and how much to do in each area.
[0023]
In addition, the consignment fee, the power transmission loss rate, and the replenishment fee are not only different for each area, but also for each time zone depending on rules. Here, new creation and deletion of a trading participant or new creation and deletion of a handled product (brand of electric power product) are performed as necessary.
[0024]
Participants in the transaction include general electric utilities (power generation, sales, and trader divisions), specific-scale electric utilities (PPS), power generation companies (IPPs, private power generation owners, etc.), traders (trading companies, financial institutions) Etc.). In addition, the products handled are standardized in advance such as 30 minutes or hourly power of the next day, peak power for medium to long term such as one month, three months, and year, base power, etc. It is an electricity product.
[0025]
In the credit calculation of the processing step S102, the transaction processing unit 21 of the contract processing device 1 instructs the credit calculation unit 23 to calculate the credit. The credit calculation unit 23 reads the time of information exchange with the financial institution 11 stored in the storage device 5, and, when the set time is reached, a transaction from the database of the financial institution 11 via the transaction processing unit 21. Check the amount of collateral in the participant's account and calculate the credit that will be the upper limit of the trading value of each trading participant today.
[0026]
The calculated credit is stored in the storage device 5. In receiving the interconnecting line free capacity in processing step S103, the transaction processing unit 21 of the contract processing device 1 reads the free capacity of the transmission line between the areas from the database of the middleman 10 and stores the free capacity of each transmission line in the storage device 5. I do.
[0027]
Here, the area is a range of a power system controlled by each general electric power company at present, for example, a power company. In the area, the connection fee on the ground handled by the power exchange is the same amount, the transmission fee is required when sending power across the area (transfer fee), the transmission loss in the ground (transmission loss) is the same, power is sent across the area At least one of the following requirements: when transmission loss is required (transfer transmission loss) or when considering the restriction of the amount of electric power when transmitting power across areas, the one to be considered when executing a trade order on an exchange. Area. For this reason, in the future, the area may be divided and increased or integrated to decrease from the current state. Transmission lines connecting the areas are called interconnection lines.
[0028]
In the processing order reception at processing step S104, the processing unit 1 receives and stores the sales order from the trading participant's sales order terminals 8-1 and 8-2 via the network 7. As shown in FIG. 5, in the trade order terminals 8-1 and 8-2, the trade processing unit 1 recognizes the trade order terminal number based on the trade participant's user name, area name, and remaining credit. Is displayed, and the format of the input screen of the trade order is also transmitted by the execution processor 1.
The trading participant selects a sell order or a buy order using a toggle switch, selects a product name from a pull-down menu or the like, and inputs an order quantity and a price. After the input is completed, the order is transmitted to the execution processor 1 by clicking the transmission button.
The validity period for receiving the transmitted order is a period during which the exchange is open, from the opening time to the closing time, and even if an order is placed at any other time, the execution device 1 does not accept the order.
[0029]
To open and close the exchange, the order receiving unit 24 reads the opening and closing times of the exchange from the storage device 5 via the transaction processing unit 25, and at that time, the exchange automatically opens, and Closes automatically. The buy / sell order sent to the exchange includes the orderer, area, product name, order quantity, order price, order type (sell or buy), and the like.
[0030]
When an order from a trading participant is accepted by the processing unit 1, the credit of the trading participant is retrieved from the storage device 5 and checked whether it is within the credit range. A message that the acceptance is accepted is sent to the trading order terminals 8-1 and 8-2 of the trading participants who have issued the order via the network 7.
[0031]
The message includes information on the trading order sent by the trading participant, the order receipt number, and the remaining credit so that the trading participant can confirm the order placed by the trading participant. If the credit is insufficient, a message indicating that the credit is insufficient and that the order has not been accepted is sent to the trading order terminals 8-1 and 8-2 of the trading participants who issued the order.
[0032]
Upon accepting the order, the trading participant's credit is reduced according to the order quantity and order price. If the exchange is open, the trading participant will accept deletions and changes to previously placed orders as needed. In the case of deletion or change, the contract processing device 1 sends the changed, deleted and corrected credits to the trading participant's trading order terminals 8-1 and 8-2 accordingly. With the above processing, the data and information for executing the trade order are completed.
[0033]
Next, in processing step S105, in the execution calculation, the execution order received by the execution processing unit 25 from the trading participant in the storage device 5 via the transaction processing unit 21 (if the order is not deleted and corrected, the corrected order). Using the rules of the exchange, etc., the order execution processing is performed so as to maximize the social profits fairly, and the result of the execution processing is stored in the storage device 5.
[0034]
The contract processing of the processing step S105 will be described with reference to the flow shown in FIG. 3 which details the contract processing of the processing step S105. In the fetching of the valid data in the processing step S201, the valid order data in the storage device 5 is fetched into the contract processing unit 25.
[0035]
In the reading and setting of the calculation conditions in the processing step S202, the trading unit when the trading participant places an order from the storage device 5 and the quotation of the trading price per unit of power, the contracting charge and the transmission loss. It reads the basic rules of the exchange, such as the rate, how to replenish it by the general electric utility, or whether to incorporate the delivery costs into the price of the sell order or the delivery costs into the price of the buy order.
[0036]
The conditions set in FIG. 6 are used so that the problem can be easily solved by formulating it into a linear programming problem. The conditions for aggregating the orders to be used when deciding whether or not the received trading order is executed at the exchange are displayed on a screen as shown in FIG. 6 and are changed as necessary.
[0037]
In the pre-processing of the processing step S203, the values set in FIG. 6 are formulated into a linear programming problem, and the order is aggregated and the trade order price is temporarily corrected for use. The reason why the buy order in area 1 of FIG. 6 has a price of 15 yen / kWh is a buy order in which the buy orders of the buy order price of 15 yen / kWh or more in area 1 are aggregated into one.
[0038]
For the aggregated buy orders, the total buy order amount and the buy order price are 15 yen / kWh. The aggregated buy orders include information on each of the original buy orders. Conversely, the reason why the sell order in area 1 in FIG. 6 has a price of 6 yen / kWh is that the sell orders with a sell order price of 6 yen / kWh or less in area 1 are consolidated into one. .
[0039]
For this aggregated sell order, the total sell order amount and the sell order price are 6 yen / kWh. The aggregated sell order includes information on each of the original sell orders. These values are set by the operator of the exchange with reference to the sell order price and the buy order price executed at the nearest exchange such as the day before. When the price of the sell order and the price of the buy order are the same order value (the price converted to the price at which one of the sell order or the buy order is delivered to the other party), the order is set so that both are executed. As a social benefit (Social Benefit), when a trade order with the same value is executed, the contract amount increases, the contract amount increases, and the trading participant can sell at the desired price or higher, and can buy at the desired price or lower. Will increase.
In the determination of the execution candidate in the processing step S204, the candidate of the order executed on the exchange is determined. In this process, considering the order price, the order quantity, and the free capacity of the interconnection line, the operation constraints of the power system are kept, and the order candidates satisfying the order conditions issued by the trading participant are determined. Here, it is not determined which sell order and which buy order are to be matched.
[0040]
In addition, there may be a case where only a part of orders of the same value (corresponding to the same order of securities) is executed, and therefore, it is a contract candidate. When the Tokyo Stock Exchange opens and closes, contracts based on the boarding method are price-priority, not time-priority. If the sell order volume and the buy order volume that are satisfied at the contract price on this stock exchange do not match, it is regarded as the "same order" and the order is allocated to the order with the larger sell order volume and buy order volume. Need to decide.
[0041]
The order condition issued by the trading participant is that, in the example of FIG. 5, the user wants to buy a maximum of 100 kWh at a price of 10.02 yen / kWh or less. For example, if the contract is executed at a price of 9.80 yen / kWh, the trading participant who has ordered will be satisfied. Formulation to a linear programming problem differs depending on the exchange execution rules.
[0042]
However, in general, the amount of power transmission loss and the amount of consignment charges are made proportional to the amount of power on the power exchange.Therefore, the problem of contracting a trade order taking into account the restrictions of the power system and the trade order is linear. Can be formulated into a planning problem. The objective function at this time is to maximize social benefits.
[0043]
The social benefit here is to maximize the amount obtained by subtracting the amount received by the executed sell orderer from the maximum amount paid by the executed buy orderer. This is equivalent to executing the contract on the exchange in descending order of the unit price, which is obtained by subtracting the price of the sell order converted from the price of the buy order in consideration of the delivery cost, while the unit price difference is positive. However, since the delivery cost includes a power transmission loss and a consignment fee depending on the location, the power transmission loss and the consignment fee may increase depending on the order of execution.
[0044]
First, as a rule of the contract, we formulate a case where the proposal was made in the interim report of the Electric Power Subcommittee. The power transmission loss shall be replenished at any time by the representative electric utility (currently a general electric utility) in the area.
[0045]
There is a power system consisting of two areas shown in FIG. 7, and as shown in FIG. 8, one sell order (order quantity G1, price P1) and one buy order (order quantity G2, price P2) are issued from each area. An example will be described. As shown in FIG. 8, the supply charge (unit price) in area 1 is Q1, and in area 2 is Q2.
[0046]
As shown in FIG. 9, a power transmission loss coefficient is αij (a loss coefficient from the area i to the area j, and the loss coefficient differs depending on the direction), and a transfer fee is β. At present, the system is charged according to the amount of power actually used by the customer, so here, the local consignment fee is not considered at the exchange.
[0047]
As shown in FIG. 10, assume that G11 is executed in area 1 and G21 in area 2 of the sell order G1, and G21 is executed in area 1 and G22 in area 2 of the sell order G2. The free capacity of the interconnection between area 1 and area 2 is f12max from area 1 to area 2 and (−f21 min) from area 2 to area 1.
[0048]
The amount of each sell order in the area 1 and the area 2 is the sum of the quantity Gi1 contracted in the area 1, the quantity Gi2 contracted in the area 2 and the quantity Gi0 not contracted as shown in (Equations 1-1 and 1-2). It becomes. Each quantity Gij becomes a positive value and satisfies (Equation 2).
[0049]
(Equation 1)

[0050]
Since the supply and demand balance of each area is the same, (Equations 3-1 and 3-2) are satisfied. Here, ri is the purchase order amount executed in the area i. Since the transmission loss is supplied by the general electric power company, the contracted amount of the sell order and the contracted amount of the buy order match. Since the contracted buy order amount is equal to or less than the original buy order amount, (Equation 4) is satisfied.
[0051]
(Equation 2)

[0052]
The price of the selling order G1 in the area 1 is converted into the price at the buying order point in consideration of the supply fee and the transfer fee due to the power transmission loss. The converted price in area 1 of the sell order G1 is P11, the converted price in area 2 is P12, the converted price in area 1 of the sell order G2 is P21, and the converted price in area 2 is P22. The equations of the converted price at this time are shown in (Equations 5-1 to 5-4).
[0053]
For example, the first item on the right side of (Equation 5-1) is the amount received by the sell orderer, the second item is the amount when replenishing the power transmission loss (α11 × G11), and the left side is the amount At least equals the amount to be paid.
[0054]
Similarly, (Expression 5-2) requires a transfer fee for the interconnection line, the first item on the right side is the amount received by the sell orderer, and the third item is the supply of power transmission loss (α12 × G12) on the ground. The second term is the amount of the transfer fee in the area 1 when the power amount G12 without power transmission loss is transmitted from the area 1 to the area 2 by the replenishment in the third term, and the fourth term is The replenishment amount for the power transmission loss in area 2, and the left side corresponds to at least the amount to be paid by the purchase orderer. The same applies to (Equation 5-3) and (Equation 5-4).
[0055]
[Equation 3]

[0056]
When both sides of (Equations 5-1 to 5-4) are divided by the respective approximate quantitative amounts Gij, unit prices converted to buying points can be calculated as shown in (Equations 6-1 to 6-4).
[0057]
(Equation 4)

[0058]
The interconnection flow due to the trade order to be executed is (Equation 7), and it is necessary to satisfy (Equation 8) from the interconnection free space constraint. Since the general electric power company replenishes the transfer loss for the transfer, the amount of the sell order in area 1 executed in area 2 flows from area 1 to area 2, and the amount of the sell order in area 2 executed in area 1 itself. Flows from area 2 to area 1. The result of subtracting both is the tidal current flowing through this interconnection line.
[0059]
(Equation 5)

The objective function S to be maximized is (Equation 9-1). The first and third terms on the right-hand side represent the amounts that the purchase orderer will be satisfied with at the maximum, and the second and fourth terms indicate the minimum amounts that the sell orderer will receive and be satisfied with. (Equation 9-2) is obtained by substituting (Equations 3-1 and 3-2) into Eq. (9-1), and (Equation 9-4) is further substituted by (Equations 6-1 to 6-4). It is when I did.
[0060]
Here, paying attention to (Equation 9-4), in order to execute the sell order and the buy order, the value in parentheses may be a positive value or zero. If the buy / sell order is in parentheses, the objective function increases, and a contracted result is obtained. However, when the value in the parentheses is zero, the objective function does not increase, so that the trading order at this time is not always executed.
[0061]
(Equation 6)

[0062]
As described above, since both the constraint condition and the objective function are linear, an optimal solution that maximizes the objective function S can be obtained by applying a method for solving a linear programming problem, for example, a linear programming method. What is obtained here is a variable Gij indicating how much each sell order is sold in each area.
[0063]
In general, since the linear programming is applied to the problem of minimizing the objective function, a minus problem may be added to (Equation 8) to make the problem a minimization problem. As a result, the contracted amount of each trade order that can be executed with the exchange is determined. This is the end of the processing step S204.
[0064]
In the above, the formula was set up based on the rules when the general electric power company supplies the power transmission loss. By the time the power amount of the executed sell order reaches the point of the buy order, the power amount decreases, and the converted unit price of the sell order increases by that amount, and the unit price of the sell order increases by adding the transfer fee. Get higher.
[0065]
However, when replenished by a general electric power company, the amount of electricity in the transaction is the same in the exchange, but the price of the sell order converted by the replenishment rises, so even if the rules are different, the basic idea is the same. is there. Formulate with this rule. It is assumed that the area of the power system, the trade order, the transmission loss, and the approximate quantity of each order are the same as those shown in FIGS.
[0066]
The respective sell order quantities in the area 1 and the area 2 are the same as in (Equation 1-1, 1-2), and the quantity Gi1 contracted in the area 1, the quantity Gi2 contracted in the area 2, and the quantity Gi2 contracted in the area 2 as in (Equation 11). This is the sum of the amounts Gi0 that have not been contracted. Each quantity Gij becomes a positive value and satisfies (Equation 2).
[0067]
(Equation 7)

[0068]
In consideration of the power transmission loss, even if the power amount G11 is sold in the sell order, the power amount reduced by the local loss and the transfer loss will arrive at the point of the buy order, respectively.
[0069]
(Equation 8)

[0070]
The electric energy r1 of the buy order executed in the area 1 and the electric energy r2 of the buy order executed in the area 2 satisfy (Equations 14-1 and 14-2). Since the approximate fixed amount is equal to or less than the order amount, (Expression 15) is satisfied.
[0071]
(Equation 9)

[0072]
The price of the sell order converted to the buy point is (Equations 16-1 and 16-2). (Equation 16-1) converts the price of the sell order into the price P11 at the buying point so that the income at the selling point on the left side and the income at the buying point on the right side are equal. (Equation 16-2) converts the price of the selling order into the price P12 at the buying point in consideration of the transfer fee. (Equation 16-3) and (Equation 16-4) are similarly converted.
[0073]
(Equation 10)

[0074]
(Equation 17) indicates the amount of power passing through the interconnection, but the amount of power passing through the interconnection is reduced by the transfer power transmission loss as compared with (Equation 7).
[0075]
[Equation 11]

[0076]
The objective function is (Equation 19) below, which is the same as (Equation 8).
[0077]
(Equation 12)

[0078]
As described above, since both the constraint condition and the objective function are linear, an optimal solution that maximizes the objective function S can be obtained by applying a linear programming or the like. What is obtained here is a variable Gij indicating how much each sell order is sold in each area. In general, since the linear programming is applied to the problem of minimizing the objective function, a minus problem may be added to (Equation 8) to make the problem a minimization problem. As a result, the contracted amount of each trade order that can be executed with the exchange is determined.
[0079]
Thus, the processing step S204 when the rules are different ends. These rules are determined in the setting of various conditions of the exchange in the processing step S101, and the problem is solved by performing the above formulation using the rules determined here.
[0080]
Next, processing step S205 checks whether there is the same order, and if so, determines which is the same order. Here, the same order is a trade candidate when the sell order is converted to the price of a buy order at a point in a certain area in the processing for determining a trade candidate in the processing step S204, despite the same price. If there is a contracted order and a non-contracted candidate, the unconfirmed sell order is also a contracted candidate.
[0081]
As described above, there are two types of remedies for orders not selected in the competition between sell orders, and those for relieving buy orders. However, even if the converted prices are the same, it is necessary to exclude those that were not selected due to lack of free space in the interconnection flow. FIG. 11 shows an example of competition between sell orders.
[0082]
Here, for the sake of simplicity, it is assumed that the transfer fee of the interconnection line is 1 yen / kWh and there is no power transmission loss. Although the order quantity is not described, the order quantity of each of the four orders is one unit. It is assumed that, by the processing 204, a sell order G1 of 10 yen / kWh and a buy order L1 of 11 yen / kWh are execution candidates. At this time, the value of the objective function S is one circle (= 11 × 1-10 × 1).
[0083]
However, even if the sell order G2 of 9 yen / kWh and the buy order L1 of 11 yen / kWh are executed, the value of the objective function S is 1 yen (= 11 × 1-9 × 1-1 × 1), and the sell is performed. The value is the same as when the order G1 is executed. To check if there is the same order, the best sell order executed in each area, the cheapest sell order that did not execute, the cheapest buy order that executed, and the highest order that did not execute Only the buy orders of are extracted.
[0084]
In order to check competition between sell orders, one contracted sell order in the extracted and all sell orders not filled are converted into buy order prices at a certain area point. If the converted price matches the price of the executed order, the matched order is a candidate for execution. Alternatively, a unit price difference between the converted price and the converted buy order of one area is obtained, and if there is a unit price difference equal to the contracted buy order, the order is a contract candidate.
[0085]
FIG. 12 shows an example when the sales order shown in FIG. 11 is made. The numerical value written below the buy order area is the buy order price, the numerical value written to the right of the sell order area is the sell order price, and the numerical value written inside it is the unit price difference. When the buy / sell order in area 1 is provisionally executed, the unit price difference between the filled buy / sell order is 1, but similarly, the unit price difference between the buy order in area 1 and the sell order in area 2 is also 1. I understand. Since the unit price differences are equal, it can be understood that a sell order that has not been executed is also a candidate for execution.
[0086]
Here, when solved by the linear programming method, there are other trade orders to be executed in the

areas

1 and 2, and the interconnection flow at this time is from the area 1 to the area 2 and the flow from the area 1 to the area 2 It is assumed that transfer power transmission loss occurs in the direction.
[0087]
At this time, if the sell order G1 and the buy order L1 are execution candidates, even if the unit price difference between the sell order G2 and the buy order L1 becomes the same, the sell order G2 is not an execution candidate.
[0088]
Because the transfer loss is proportional to the tidal flow, if the power flow is flowing from the area 1 to the area 2, if the sell order G2 and the buy order L1 are the execution candidates, the original transfer loss can be reduced. become.
[0089]
Therefore, if an optimal solution is found, if there is a solution with the same unit price difference and a reduction in transmission loss, that solution should have been found, and it can be said that this solution was not found. That is, in the area 1, the sell order 2 should not be a contract candidate. That is, when this combination is performed, the objective function deteriorates.
[0090]
Similarly, if the power flow exceeds the free space of the interconnection line, the sell order cannot be a contracted sell order candidate in area 1. Next, an example of competing on the buy order side is shown in FIGS. Although the sell order G1 in the area 1 and the buy order L1 in the area 1 are execution candidates, when the unit price difference is calculated, it becomes the same as the unit price difference between the buy order in the area 1 and the sell order in the area 2 from FIG. ing.
[0091]
That is, based on the unit price difference, the buy order L2 is also a contract candidate. As in the case of the competition on the sell order side, whether or not the buy order L2 finally becomes a trade candidate in the area 2 depends on the fact that there is no decrease in transfer and transmission loss and the flow exceeds the free capacity of the interconnection line. Then, in the area 2, the buy order cannot be a contract candidate. As described above, a contract candidate to be added can be determined.
[0092]
Next, the same order distribution processing is performed in processing step S206. In each area, the order below the second highest order among the sell order execution candidates is confirmed. Similarly, the execution of the order of the buy order in each area that is equal to or higher than the second cheapest order is determined. Next, for orders that are the same order, it is determined which order is executed based on exchange rules.
[0093]
There is the same order in each area, and not all of the same orders are executed due to tidal current restrictions. The order quantity of the contracting partner becomes the upper limit, and a rule for allocating which order is executed is required. As an example of this distribution rule, a method is conceivable in which the total quantity is the same order quantity that can be filled in proportion to the quantity of the same order that can be filled in the area and the quantity of the same order.
[0094]
In the processing step S207, it is possible to determine the contracted amount of each order using the trading contract candidate determined in the processing step S204 and the contracted amount distributed from the same order in the processing step S207.
[0095]
In processing step S208, a settlement price is determined. It is considered that the electric power flowing in from the adjacent area is the electric power of the highest contracted order price of the adjacent contract. In the following, calculation is performed using only the price of the executed order.
[0096]
When the highest selling order price of the area and the highest selling order price of the adjacent area (converted to the price of the incoming area) when inflowing from the adjacent area is settled with the exchange in that area Will be the cheapest settlement price. Similarly, the lowest buy order price in the area is the lowest clearing price with the exchange.
[0097]
The settlement price between the exchange and the sell order and the settlement price between the exchange and the buy order are determined for each area. At this time, it is sufficient that the price is between the lowest settlement price of the sell order in each area and the highest settlement price of the buy order in that area (the price converted to the selling order point). Decide. As described above, the contract price of the sell order and the contract price of the buy order in each area are determined.
[0098]
The executed order calculated by the above processing and its fixed amount, the lowest settlement price of the sell order for each area, the highest settlement price of the buy order, the executed price of the executed sell order and the execution of the buy order for each area Price, current of each interconnection line, the same order quantity in each area and the contract amount within it, the highest sell order price executed in each area, the lowest sell order price not executed, the lowest price executed in each area The storage device 5 stores information on the purchase order price, the contract result of the lowest unsold sell order price, and the like.
[0099]
In the charge calculation in the processing step S105, the charge calculation unit 25 reads the information on the contract price and the fixed amount for each order from the storage device 5, and calculates the settlement fee for each order. The settlement fee is totaled for each trading participant. Finally, the settlement fee for the entire product that has been traded in one day is calculated. Each calculation result is stored in the storage device 5.
[0100]
In processing step S107, distribution of the contract result, creation and display of market information are executed by the market publication unit 27, and FIGS. 15, 16, 17, 18, 19 and 20 are displayed on the display device 4. The contracted amount and the contracted price are distributed to the trading participant who has placed the contracted order to the trading order terminals 8-1 and 8-2 via the transaction processing unit 21 and the network 7.
[0101]
FIG. 15 shows the highest buy order price to fill per area, the lowest buy order price not filled per area, the lowest sell order price to fill per area, and the best unfilled sell per area. It is an example of a display screen of an order price, a settlement price (MCP) between an exchange and a buy order for each area, and a settlement price (MCP) between an exchange and a sell order for each area.
[0102]
FIG. 16 shows the gross fixed amount of filled buy orders for each area, the gross fixed amount of filled sell orders for each area, the gross fixed amount of unfilled buy orders for each area, and the unfilled sell orders for each area. 7 is an example of a display screen of the total contracted amount of the above.
[0103]
FIG. 17 shows the buy order price to be executed for each area, but the total order quantity of the buy order that was not executed because it was not selected, the total amount executed for the same order, and the sell order price to be executed for each area. 7 is an example of a display screen of the total order amount of the sell order that was not executed because the item was not selected and the total order amount executed for the same order. FIG. 18 is a display screen example of the transmission line free capacity between the areas and the transmission line usage between the areas.
[0104]
In addition, whether or not each trading order of the trading participant inquired in response to the inquiry of the execution result from the trading order terminals 8-1 and 8-2 via the network 7 is executed, and if executed, the execution price is returned. .
[0105]
Further, the trading participant inputs the trade order price from the trade order terminals 8-1 and 8-2, designates an area, and clicks a calculation button to determine whether the order price has been executed. The result of converting the entered buy / sell order price to the buy / sell price of each area in consideration of the consignment charge and transmission loss rate, the highest sell order price executed in each area, The screen display shown in FIG. 19 showing the buy order price can be displayed on the buy / sell order terminals 8-1 and 8-2. Thereby, it can be confirmed that the price ordered by the trading participant cannot be executed.
[0106]
If a trading participant makes the above inquiry before closing the exchange, the result will be obtained without entering the value of the highest sell order price executed in each area and the lowest buy order price executed in each area. return it.
[0107]
Also, if the price ordered by the trading participant is lower than the sell order price or the higher buy order price but has not been executed, the reason is that the capacity of the interconnection line is limited. 18, it can be seen that there is no margin in the interconnection free space up to the area to be contracted based on the interconnection free space and the used amount in FIG. In the case of the same order, the order quantity and the approximate amount for each trading participant who has made the same order are displayed as shown in FIG.
[0108]
Thus, the contract processing of the exchange system is completed.
[0109]
【The invention's effect】
As described above, according to the present invention, a sales order received at an exchange is formulated into a linear programming problem, and an order candidate to be executed to maximize social profit is determined, and an order of the same value is determined. By confirming the existence and determining the final contract taking this order into account, it is possible to reduce transmission loss, reduce the transfer fee expended by trading participants, and maximize the contract amount A fixed amount and a fixed price can be determined.
[Brief description of the drawings]
FIG. 1 is a block diagram showing the overall configuration of a contract processing device of an exchange system.
FIG. 2 shows an exchange processing flow of the exchange system.
FIG. 3 shows a contract processing flow of the exchange system.
FIG. 4 is a diagram showing a conventional example of a contract method.
FIG. 5 is a diagram showing an example of a sales order input screen.
FIG. 6 is a diagram showing an example of a sales order aggregation condition setting screen.
FIG. 7 is a diagram illustrating an example of a power system including two areas.
FIG. 8 is a diagram showing an example of a sales order and a supply fee.
FIG. 9 is a diagram illustrating examples of transmission loss and transfer fee coefficients;
FIG. 10 is a diagram showing an example of a fixed amount of a sell order executed in an area 1 and an area 2;
FIG. 11 is a diagram showing an example of the same order.
FIG. 12 is a diagram showing an example of a unit price difference calculation result screen of the same order.
FIG. 13 is a diagram showing an example of competition on the buy order side.
FIG. 14 is a diagram showing an example of a unit price difference calculation result screen of the same order.
FIG. 15 is a diagram illustrating an example of a screen.
FIG. 16 is a diagram illustrating an example of a screen.
FIG. 17 is a diagram illustrating an example of a screen.
FIG. 18 is a diagram illustrating an example of a screen.
FIG. 19 is a diagram illustrating an example of a screen.
FIG. 20 is a diagram illustrating an example of a screen.
[Explanation of symbols]
DESCRIPTION OF SYMBOLS 1 ... Contract processing apparatus of an exchange system, 2 ... Processing part, 3 ... Input device, 4 ... Display device, 5 ... Storage device, 6 ... Printing device, 7 ... Network, 8 ... Trading order terminal, 10 ... Middleman , 11 ... financial institutions.

Claims

A sales order using the trading order including the trading volume and the trading price per unit amount received from the power trading participant, and the cost associated with the delivery in the transaction processing of the exchange, using the predetermined delivery cost. In a contract processing method of an exchange system for contracting and closing a buy order, the social profit obtained by subtracting the lower limit received by the sell orderer and the delivery cost when the contract is executed from the upper limit amount paid by the buyer when the contract is executed. A contract processing method for a power exchange system, wherein a buy order to be filled and a sell order to be filled are determined so as to be maximized.

Using the trading order including the trading volume and the trading price per unit quantity received from the trading participant and the cost associated with the delivery in the transaction processing of the exchange, and using the predetermined delivery cost, the selling order and the buying In a contract processing method of an exchange system for contracting and closing an order, maximizing social profit by subtracting the lower limit received by a sell orderer and the delivery cost when the contract is executed from the upper limit paid by the buyer when the contract is executed. A contract processing method for an exchange system, which determines a buy order to be filled and a sell order to be filled by using a solution that formulates a linear problem to be solved and solves a linear program.

A sell order with the same price in the area is aggregated as one sell order, and a buy order with the same price in the area is aggregated as one buy order, and a solution method is used to formulate a linear problem and solve a linear program. 3. A contract processing method for an exchange system according to claim 2, wherein a contracting buy order and a contracting sell order are determined.

Enter the sell order price to be aggregated for each area or common to all areas, and aggregate the sell orders in this area that are higher than this order price as one sell order, and collect the buy order price for each area or common to all areas Is entered, the buy orders of the same price in the area that is equal to or less than this order price are aggregated as one buy order, and the solution is formulated into a linear problem and a solution to the linear plan is used to solve the buy order and the fill order. 3. A contract processing method for an exchange system according to claim 2, wherein a sell order to be executed is determined.

A sales order including a trading volume and a trading price per unit amount received from a power trading participant, and a cost associated with delivery in a transaction process of an exchange, and using a predetermined delivery cost, a sales order, In a contract processing method of an exchange system for contracting and closing a buy order, (a) the power transmission loss rate in the transaction processing of the exchange is different, and (b) when power is transferred between the regions, other than the consignment within the region. Among the conditions in which a consignment cost is required, and (c) a condition that at least one of the conditions of being separated by a transmission line taking into account the power flow restriction in the transaction processing of an exchange is defined as an area, an area in which one or more products are traded. Power, and the delivery cost is the lesser of the cost due to the transmission loss in the area, the cost due to the transmission loss between the areas, the A linear problem that maximizes a social benefit that is obtained by subtracting the lower limit received by the sell orderer when executed and the delivery cost from the upper limit paid by the buy orderer when executed. A contract processing method for an exchange system, wherein a contracting buy order and a contracting sell order are determined for each area by using a solving method.

(A) the amount of power flowing through the transmission line between the areas is less than the free space of the transmission line, (b) the supply and demand balance that the total amount of contracted sell orders is equal to the total amount of contracted buy orders plus transmission loss. (C) At least one of the constraint conditions that the contracted amount of each sell order to be executed is equal to or less than the order amount of the sell order, and (d) the contracted amount of each of the executed buy orders is equal to or less than the order amount of the buy order. 6. A contract processing method for an exchange system according to claim 5, wherein the order is taken into a linear programming problem to determine a buy order and a sell order to be filled.

The settlement price of a sell order or a buy order between a trading participant and an exchange contracted for each area is (order price of all buy orders contracted for the area) ≧ (buying of the area that the exchange and the orderer settle). 6. The exchange according to claim 5, which satisfies the relationship of: "Settlement price of order" ≥ (Settlement price of sell order in said area settled by exchange and orderer) ≥ (Order price of all sell orders executed in said area). How the system deals.

When electric power flows from an adjacent area to an area, the sell order price of the area converted in consideration of the cost required to deliver and sell the highest sell order price of the adjacent area is converted to the total sell order of the area. In the case where power flows out from the certain area to the adjacent area, including in the order price of the order, the power of the certain area converted in consideration of the cost required to deliver the lowest buy order price executed by the adjacent area is considered. 8. The transaction according to claim 7, wherein the buy order price is included in the order price of all the buy orders executed in the area, and the settlement price of the sell order or the buy order between the exchange and the executed trading participant is determined for each area. Contract processing method in the office system.

Even if a buy order to be executed and a sell order to be executed are further added, if the social benefits are the same, a buy order to be executed or a buy order and a sell order to be executed so that the executed sell order is maximized. 7. The contract processing method for an exchange system according to claim 1, wherein the contract processing is performed.

An exchange processing system of an exchange system comprising an order receiving unit for accepting a trading order from a trading participant and a contract processing unit, wherein the contract processing unit is provided with a cost associated with delivery considered in a predetermined exchange transaction process. In order to fill and close sell and buy orders, we formulate a linear problem that maximizes social benefits by subtracting the lower limit received by the sell orderer and the cost of delivery from the upper limit paid by the buy orderer. A contract processing apparatus for an exchange system, which determines a buy order to be filled and a sell order to be filled by using a solution method for solving a linear program by making a solution.

11. The contract processing device of the exchange system according to claim 10, wherein the contract processing unit calculates a contracted buy order price and a contracted sell order price in consideration of the free space of the interconnection line.

The highest buy order price to fill for each area, the lowest buy order price that did not fill for each area, the lowest sell order price to fill for each area, the highest sell order price that did not fill for each area, Settlement price of exchange and buy order for each area, Settlement price of exchange and sell order for each area, Gross fixed quantity of filled buy order for each area, Gross fixed quantity of filled sell order for each area, Gross fixed amount of unfilled buy orders for each area, Gross fixed amount of unsold sell orders for each area, buy order price that should be filled for each area but not selected because it was not selected The total order volume of the order, the total order volume of the sell order that was the contracted sell order price for each area but was not selected because it was not selected, the transmission line free capacity between the areas, and the transmission line usage between the areas At least one of them Commitments processor exchange system of claim 10, further comprising a Shimesuru display device.

Based on the inter-area and intra-area consignment costs, the inter-area and intra-area power transmission loss rates, or the area replenishment charges stored in the storage device of the exchange system or the trading order terminal, the trading participant can An exchange characterized by displaying, on a trading order terminal, a price obtained by converting the selling price to a buying order point in each area or a price converted to a selling order point in each area using the selected area and the selling price. Contract processing unit of the system.

14. The contract processing device of the exchange system according to claim 13, wherein the contracted highest sell order price of each area or the contracted lowest buy order price of each area is displayed on the trade order terminal.