WO2021114674A1 - 一种用于中长期购售电的策略确定方法及装置 - Google Patents

一种用于中长期购售电的策略确定方法及装置 Download PDF

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WO2021114674A1
WO2021114674A1 PCT/CN2020/103656 CN2020103656W WO2021114674A1 WO 2021114674 A1 WO2021114674 A1 WO 2021114674A1 CN 2020103656 W CN2020103656 W CN 2020103656W WO 2021114674 A1 WO2021114674 A1 WO 2021114674A1
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electricity
transaction
total
expected
price
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PCT/CN2020/103656
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English (en)
French (fr)
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杜雅慧
王海霞
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新奥数能科技有限公司
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Priority to EP20898869.1A priority Critical patent/EP3979157A4/en
Publication of WO2021114674A1 publication Critical patent/WO2021114674A1/zh
Priority to US17/541,236 priority patent/US20220092507A1/en

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    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q10/00—Administration; Management
    • G06Q10/04—Forecasting or optimisation specially adapted for administrative or management purposes, e.g. linear programming or "cutting stock problem"
    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q10/00—Administration; Management
    • G06Q10/06—Resources, workflows, human or project management; Enterprise or organisation planning; Enterprise or organisation modelling
    • G06Q10/063—Operations research, analysis or management
    • G06Q10/0635—Risk analysis of enterprise or organisation activities
    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q10/00—Administration; Management
    • G06Q10/06—Resources, workflows, human or project management; Enterprise or organisation planning; Enterprise or organisation modelling
    • G06Q10/063—Operations research, analysis or management
    • G06Q10/0637—Strategic management or analysis, e.g. setting a goal or target of an organisation; Planning actions based on goals; Analysis or evaluation of effectiveness of goals
    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q10/00—Administration; Management
    • G06Q10/06—Resources, workflows, human or project management; Enterprise or organisation planning; Enterprise or organisation modelling
    • G06Q10/063—Operations research, analysis or management
    • G06Q10/0637—Strategic management or analysis, e.g. setting a goal or target of an organisation; Planning actions based on goals; Analysis or evaluation of effectiveness of goals
    • G06Q10/06375—Prediction of business process outcome or impact based on a proposed change
    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q10/00—Administration; Management
    • G06Q10/06—Resources, workflows, human or project management; Enterprise or organisation planning; Enterprise or organisation modelling
    • G06Q10/067—Enterprise or organisation modelling
    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q30/00—Commerce
    • G06Q30/02—Marketing; Price estimation or determination; Fundraising
    • G06Q30/0201—Market modelling; Market analysis; Collecting market data
    • G06Q30/0206—Price or cost determination based on market factors
    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q30/00—Commerce
    • G06Q30/06—Buying, selling or leasing transactions
    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/06—Asset management; Financial planning or analysis
    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q50/00—Information and communication technology [ICT] specially adapted for implementation of business processes of specific business sectors, e.g. utilities or tourism
    • G06Q50/06—Energy or water supply

Definitions

  • the invention belongs to the technical field of power trading, and in particular relates to a method and device for determining a strategy for medium and long-term power purchase and sale.
  • the purpose of the embodiments of the present invention is to provide a method, device, terminal equipment, and computer-readable storage medium for determining a strategy for medium and long-term purchase and sale of electricity, so as to solve the inability to quickly and accurately assess contract value and measure contract risk in the prior art. , Combination purchase and sales strategy and other issues.
  • the first aspect of the embodiments of the present invention provides a method for determining a strategy for medium and long-term electricity purchase and sale, including:
  • initial holding volume initial holding price, number of fixed-proportioning contracts, time-sharing power of fixed-proportion contracts, average unit price of fixed-proportion contracts, number of quantitative contracts, time-sharing power of quantitative contracts, and average unit price of quantitative contracts according to the underlying time period , To obtain the position volume after the transaction and the total price of the position after the transaction;
  • Preset the target position range and obtain the total load expectation based on the initial position, actual load, actual load forecast expected value, exposure, the target position range, and the post-trade position;
  • the maximum positive fluctuation value of the actual load the initial open position, the maximum positive fluctuation value of the spot price, the actual load forecast expected value, the spot price forecast expected value, and the position volume after the transaction, obtain the total risk electricity charge;
  • a purchase and sale strategy is determined.
  • the second aspect of the embodiments of the present invention provides a device for determining a strategy for medium and long-term electricity purchase and sale, including:
  • the information determination module is used for the initial holding volume, initial holding price, number of fixed-proportion contracts, time-sharing power of fixed-proportion contracts, average unit price of fixed-proportion contracts, number of quantitative contracts, and time-sharing power of quantitative contracts according to the initial open position of the target period And the average unit price of the quantitative contract, to obtain the position volume after the transaction and the total price of the position after the transaction;
  • the load total expectation acquisition module is used to preset the target position range, and obtain the load according to the initial position, actual load, actual load forecast expected value, exposure, target position range, and post-transaction position Total expectation
  • the total risk electricity fee acquisition module is used to obtain the maximum positive fluctuation value of the actual load, the initial position holding volume, the maximum positive fluctuation value of the spot price, the actual load forecast expected value, the spot price forecast expected value, and the position after the transaction Quantity, get the total risk electricity bill;
  • Expected electricity rate acquisition module configured to acquire according to the exposure, the expected spot price expected value, the initial position volume, the initial position price, the position volume after the transaction, and the total position price after the transaction Expect electricity bills;
  • the purchase and sale strategy determination module is configured to determine the purchase and sale strategy according to the total risk electricity charge and the expected electricity charge.
  • a third aspect of the embodiments of the present invention provides a terminal device, including a memory, a processor, and a computer program stored in the memory and running on the processor, and the processor executes the computer program
  • the steps of the method for determining the strategy for medium and long-term electricity purchase and sale are realized at the time.
  • a computer-readable storage medium stores a computer program.
  • the computer program is executed by a processor, the The strategy determines the steps of the method.
  • the beneficial effect of the method for determining a strategy for mid- to long-term purchase and sale of electricity provided by the embodiment of the present invention is at least that: the embodiment of the present invention formulates a mid- to long-term contract purchase and sale strategy (multi-contract combination) on the basis of the purchased electricity , Each strategy will have a certain margin relative to the actual load expectation. The margin is balanced by the spot market. Through three parts: existing positions + medium and long-term transactions + spot market transactions, the risk electricity charges and expected electricity charges under this strategy are calculated.
  • FIG. 1 is a schematic diagram of the implementation process of a method for determining a strategy for medium and long-term electricity purchase and sale provided by an embodiment of the present invention
  • FIG. 2 is a schematic diagram of the realization process of obtaining the total load expectation in the method for determining the strategy for medium and long-term purchase and sale of electricity provided by an embodiment of the present invention
  • FIG. 3 is a schematic diagram of the implementation process of obtaining the total risk electricity fee in the method for determining the strategy for medium and long-term purchase and sale of electricity provided by an embodiment of the present invention
  • FIG. 4 is a schematic diagram of the realization process of obtaining the expected electricity rate in the method for determining the strategy for medium and long-term purchase and sale of electricity provided by an embodiment of the present invention
  • FIG. 5 is a schematic diagram of a device for determining a strategy for medium and long-term electricity purchase and sale provided by an embodiment of the present invention
  • FIG. 6 is a schematic diagram of a load total expectation obtaining module in a device for determining a strategy for medium and long-term purchase and sale of electricity provided by an embodiment of the present invention
  • FIG. 7 is a schematic diagram of a total risk electricity fee obtaining module in a device for determining a strategy for medium and long-term electricity purchase and sale according to an embodiment of the present invention
  • FIG. 8 is a schematic diagram of a desired electricity fee obtaining module in a device for determining a strategy for medium and long-term purchase and sale of electricity provided by an embodiment of the present invention
  • Fig. 9 is a schematic diagram of a terminal device provided by an embodiment of the present invention.
  • the term “if” can be interpreted as “when” or “once” or “in response to determination” or “in response to detection” depending on the context .
  • the phrase “if determined” or “if detected [described condition or event]” can be interpreted as meaning “once determined” or “in response to determination” or “once detected [described condition or event]” depending on the context ]” or “in response to detection of [condition or event described]”.
  • FIG. 1 it is a schematic diagram of the implementation process of a method for determining a strategy for medium and long-term purchase and sale of electricity provided by an embodiment of the present invention.
  • the method may include:
  • Step S10 According to the initial position volume, initial position price, number of fixed-proportion contracts, time-sharing power of fixed-proportion contracts, average unit price of fixed-proportion contracts, number of quantitative contracts, time-sharing power of quantitative contracts, and quantitative contracts according to the target period The average unit price of, get the position volume after the transaction and the total price of the position after the transaction.
  • the existing methods generally focus on the standard curve, but also focus on the D1/D2/D3 curves specified by the on-site exchanges.
  • the shape standards of these types of curves the purchaser and the seller only need to pay attention to the price. , Decision-making is less difficult; but in bilateral transactions and listed transactions, the contract curve is completely customized. Both parties need to comprehensively evaluate the curve shape, price, and open interest to evaluate the value of the curve to make a decision, which is much more difficult.
  • the method assumes that the underlying period is a whole month or a multiple of a whole month, that is, i ⁇ [1,c ⁇ d ⁇ 24] (c is the number of months, d is the number of days in each month), so the initial position volume and price of the known target period are respectively Expected value of actual load forecast for known target period And the maximum positive fluctuation value The expected value of the spot price forecast for the known target period And the maximum positive fluctuation value It is known that the time-sharing curve ratio and average unit price of m potential fixed-proportion contracts are respectively It is known that the time-of-use electricity and average unit price of n potential quantitative contracts are respectively Known monthly net transactions restrict Q monthly net , known monthly accumulated transactions restrict Q monthly accumulation , known monthly guarantees restrict the remaining Q guarantees , and known risk electricity charges restriction upper limit Known target position range
  • the time-of-use electricity is calculated as (i is the time sequence number, j is the contract number, r is the proportion of time-of-use electricity, and Q is the total electricity of the contract), the contract unit price is P j ; for the quantitative potential contract k, the time-of-use electricity and the contract unit price are respectively P k .
  • the method of obtaining the open interest after the transaction is:
  • Characterize the initial position Characterize the time-of-use power of a fixed-proportion contract
  • m represents the number of fixed-proportioning contracts
  • n represents the number of quantitative contracts
  • i represents the number of time-sharing contracts
  • j represents the serial number of fixed-proportion contracts
  • k represents the serial number of quantitative contracts
  • r represents the total proportion of time-of-use electricity
  • Q represents the total power of the contract
  • the method of obtaining the total position price after the transaction is:
  • target period here is not limited to a whole month, and the time or unit time can be set as needed, and there is no limitation here.
  • Step S20 Preset a target position range, and obtain a total load expectation based on the initial position, actual load, actual load predicted expected value, exposure, the target position range, and the post-transaction position.
  • the target position range is preset according to the position margin; According to the actual load, the expected expected value of the actual load, the target position range, the initial position and the exposure, the total load expectation model is obtained; according to the position after the transaction, the target position range And the total load expectation model to obtain the total load expectation, and the position volume after the transaction at least conforms to the target position range.
  • One way to obtain the total load expectation may include the following steps:
  • Step S201 preset the target position range according to the position margin.
  • the target position range is:
  • the lower limit of r or the upper limit of r represents a preset ratio based on operating conditions Characterize the total expected load model, Characterize the actual load, It characterizes the expected expected value of the actual load.
  • a certain position margin is generally consciously reserved for future trading, and a target position range is set.
  • the forecasted fluctuations are not considered at the time of export, only the total load expectation of the target period As a reference, and will generally be determined in accordance with the proportion, that is The range of the target position is the proportion set by the user according to the business situation. For example, this trading window is expected to purchase 70%-80% of the position.
  • the range of the target position here is determined according to the user's business situation, the value is variable, and the range is between 0%-100%, and there is no restriction here.
  • Step S202 Obtain a total expected load model according to the actual load, the expected expected value of the actual load, the target position range, the initial position and the exposure.
  • the method of obtaining the load expectation model is:
  • Step S203 Obtain a total load expectation according to the post-transaction position volume, the target position range and the total load expectation model, and the post-transaction position quantity at least meets the target position range.
  • Step S30 Obtain the total risk according to the maximum positive fluctuation value of the actual load, the initial open interest, the maximum positive fluctuation value of the spot price, the actual load forecast expected value, the spot price forecast expected value, and the position after the transaction. Electricity bill.
  • FIG. 3 is a schematic diagram of the implementation process of obtaining the total risk electricity fee in the method for determining the strategy for medium and long-term purchase and sale of electricity provided by an embodiment of the present invention.
  • the reliability is preset;
  • the maximum volatility value, the initial holding volume, the maximum positive volatility value of the spot price, the actual load forecast expected value, and the spot price forecast expected value obtain the total risk electricity charge model; according to the position volume after the transaction and the total risk electricity charge model , Obtain the total risk electricity cost, and the total risk electricity cost at least meets the upper limit of the risk electricity cost constraint.
  • One way to obtain the total risk electricity bill can include the following steps:
  • Step S301 preset reliability.
  • Risk is the total risk electricity cost of the indicator period. It is a constraint in the optimization process, that is, the pursuit of optimization is "the optimal electricity cost under the condition of acceptable risk", and the calculation method of risk follows the definition of economics.
  • the fluctuation value when the occurrence confidence is 95% is regarded as the maximum risk situation, and the corresponding loss is regarded as the risk).
  • handling reliability can be preset according to actual problems or situations, and the range is between 0% and 100%, and there is no limitation here.
  • Step S302 According to the maximum positive fluctuation value of the actual load, the initial open position, the maximum positive fluctuation value of the spot price, the actual load forecast expected value, and the spot price forecast expected value, a total risk electricity charge model is obtained.
  • the method of obtaining the total risk electricity bill model is:
  • Characterizing the maximum positive fluctuation value of the actual load Characterize the maximum positive fluctuation value of the spot price, Characterize the expected value of the spot price forecast.
  • the “position” here refers to the amount covered by the user contract, Is the maximum fluctuation of the load, Is the maximum fluctuation of the spot price.
  • Step S303 Obtain a total risk electricity charge based on the position volume after the transaction and the total risk electricity charge model, where the total risk electricity charge at least meets the upper limit of the risk electricity charge constraint.
  • the method of obtaining the total risk electricity fee is:
  • Step S40 Obtain an expected electricity charge based on the exposure, the predicted expected value of the spot price, the initial position volume, the initial position price, the position volume after the transaction, and the total position price after the transaction.
  • FIG. 4 is a schematic diagram of the realization process of obtaining the expected electricity fee in the method for determining the strategy for medium and long-term purchase and sale of electricity provided by an embodiment of the present invention.
  • the expected value is predicted based on the exposure and the spot price.
  • the initial position holding amount and the initial position price obtaining an expected electricity charge model; according to the position volume after the transaction, the total position holding price after the transaction, and the expected electricity charge model, obtaining the expected electricity charge model.
  • One way to obtain the expected electricity bill may include the following steps:
  • Step S401 Obtain an expected electricity charge model based on the exposure, the expected expected value of the spot price, the initial position volume, and the initial position price.
  • the optimization goal is the lowest risk-free electricity bill, and the original formula is the expected electricity bill model.
  • Step S402 Obtain the expected electricity rate according to the position volume after the transaction, the total position price after the transaction, and the expected electricity rate model.
  • Step S50 Determine a purchase and sale strategy according to the total risk electricity fee and the expected electricity fee.
  • Transaction constraints mainly include: monthly net contract volume constraints, monthly cumulative contract volume constraints, and performance bond limits.
  • the monthly net contract volume constraint refers to the upper limit of the algebraic sum of the wholesale side trading contracts (ie open interest) during the monthly target period, which is counted as Q monthly net ;
  • the monthly cumulative contract volume constraint refers to the absolute amount of the transaction contract volume based on the monthly target period
  • the upper limit of the total value ie transaction mileage
  • the performance guarantee limit is based on the amount of the guarantee prepaid by the electricity sales company to control the total annual upper limit for the electricity sales company to participate in contract transactions, and the amount of guarantee for the target month is part of it. It is counted as Q letter of guarantee (this value is generally formulated by the retail company according to the annual plan, and can be regarded as a known amount during optimization).
  • the acquisition method that meets the monthly net transaction constraint is:
  • Q monthly net represents the monthly net transaction constraint.
  • the method of obtaining the remaining that meets the constraints of the monthly guarantee is:
  • the Q guarantee represents the surplus of the monthly guarantee constraint.
  • the acquisition method that complies with the monthly cumulative transaction constraint is:
  • Q month cumulative represents the monthly cumulative transaction constraint.
  • the target position range meets the following constraints:
  • the method for obtaining the total risk electricity fee at least meeting the upper limit of the risk electricity fee constraint is:
  • the expected electricity charge has the smallest value and satisfies:
  • the user On the basis of the purchased electricity, the user tries a medium-to-long-term contract purchase and sale strategy (multi-contract combination). Each strategy will have a certain margin relative to the actual load expectation. This part is balanced by the spot market through existing positions + medium Long-term transaction + spot market transaction three parts, can calculate the risk electricity fee and expected electricity fee under this strategy; through a certain optimization algorithm, find out the purchase and sales strategy that minimizes the expected electricity fee; among them, the medium and long-term contract transaction volume has certain constraints, and the strategy There is an upper limit constraint on the risk of electricity tariffs formed.
  • the value of the expected electricity fee can be the minimum or the maximum; the constraints can be limited to the target position range limit, and not limited to other constraints. Therefore, as long as it falls within the scope of the above-mentioned concept, it can be considered to fall within the scope of protection of the present invention, and there is no limitation here.
  • the method for determining a strategy for medium and long-term purchase and sale of electricity provided by the embodiment of the present invention has at least the following beneficial effects: the embodiment of the present invention is based on the initial position volume, the initial position price, the number of fixed-proportion contracts, and the number of fixed-proportion contracts in the target time period.
  • This method can quickly and accurately assess contract value, measure contract risk, and combine purchase and sale strategies based on its own conditions, such as the load of the agent user, guarantees and other transaction constraints, and risk preference, which improves the accuracy of the assessment and reduces the risk of purchase and sale transactions. , To ensure that the best purchase and sale transaction is obtained; the method formulates the strategy quickly, the implementation process is simple, and the intelligent processing is realized.
  • the embodiment of the present invention also aims to provide a strategy determination device for medium and long-term electricity purchase and sale.
  • FIG. 5 is a schematic diagram of the strategy determination device for medium and long-term electricity purchase and sale provided by an embodiment of the present invention. For ease of description, Only the parts related to the embodiments of the present application are shown.
  • the apparatus for evaluating the similarity of equipment model trends includes an information determining module 61, a total load expectation acquiring module 62, a total risk electricity fee acquiring module 63, an expected electricity fee acquiring module 64, and a purchasing and selling strategy determining module 65.
  • the information determining module 61 is used to determine the amount of the initial position, the initial position price, the number of fixed-proportion contracts, the time-sharing power of the fixed-proportion contract, the average unit price of the fixed-proportion contract, the number of quantitative contracts, and the distribution of the quantitative contract according to the initial position of the target period.
  • the load total expectation acquisition module 62 is used to preset the target position range, according to the initial holding volume, actual load volume, and actual load The expected value of the volume forecast, the exposure, the target position range and the volume of the position after the transaction, to obtain the total load expectation;
  • the total risk electricity fee acquisition module 63 is used to obtain the maximum positive fluctuation value of the actual load, the initial holding volume, and the spot volume.
  • the maximum positive price fluctuation value, the actual load forecast expected value, the spot price forecast expected value, and the position after the transaction are used to obtain the total risk electricity charge;
  • the expected electricity charge acquisition module 64 is used for the expected electricity charge acquisition module, which is used to obtain the total risk electricity charge according to the Exposure, the predicted expected value of the spot price, the initial position volume, the initial position price, the position volume after the transaction, and the total position price after the transaction to obtain the expected electricity charge;
  • the purchase and sales strategy determination module 65 uses Based on the total risk electricity fee and the expected electricity fee, a purchase and sale strategy is determined.
  • the total load expectation obtaining module 62 includes a range determining unit 621, a model determining unit 622, and a total load expectation determining unit 623.
  • the range determining unit 621 is configured to preset a target position range according to the position margin
  • the model determining unit 622 is configured to preset the target position range according to the actual load, the actual load predicted expected value, the target position range, and the initial position Load total expected model
  • the load total expected determination unit 623 is configured to obtain the total load expected model according to the post-transaction position volume, the target position range, and the total load expected model. The position volume of at least meets the target position range.
  • the total risk electricity rate obtaining module 63 includes a confidence level obtaining unit 631, a model obtaining unit 632, and a total risk electricity rate obtaining unit 633.
  • the confidence obtaining unit 631 is used to preset the confidence
  • the model obtaining unit 632 is used to obtain the maximum positive fluctuation value of the actual load, the initial position, the maximum positive fluctuation value of the spot price, the expected value of the actual load forecast, The expected value of the spot price is predicted to obtain the total risk electricity charge model
  • the total risk electricity charge acquisition unit 633 is configured to obtain the total risk electricity charge model according to the position volume after the transaction and the total risk electricity charge model.
  • the expected electricity rate acquisition module 64 includes an expected electricity rate model acquisition unit 641 and an expected electricity rate acquisition unit 642.
  • the expected electricity rate model obtaining unit 641 is configured to obtain an expected electricity rate model based on the exposure, the spot price predicted expected value, the initial holding volume, and the initial holding price;
  • the expected electricity rate obtaining unit 642 is configured to obtain an expected electricity rate model according to the After the transaction, the position volume after the transaction, the total position price after the transaction, and the expected electricity charge model are used to obtain the expected electricity charge.
  • Fig. 9 is a schematic diagram of a terminal device provided by an embodiment of the present invention.
  • the terminal device 7 includes a processor 70, a memory 71, and a computer program 72 that is stored in the memory 71 and can run on the processor 70, and the processor 70 executes the
  • the computer program 72 implements steps such as the method of obtaining the state of the target object. For example, steps S10 to S50 shown in FIG. 1 to FIG. 4.
  • the terminal device 7 may be a computing device such as a desktop computer, a notebook, a palmtop computer, and a cloud server.
  • the terminal device may include, but is not limited to, a processor 70 and the memory 71.
  • FIG. 9 is only an example of the terminal device 7 and does not constitute a limitation on the terminal device 7. It may include more or fewer components than shown in the figure, or a combination of certain components, or different components.
  • the terminal device may also include input and output devices, network access devices, buses, and so on.
  • the so-called processor 70 may be a central processing unit (Central Processing Unit, CPU), other general-purpose processors, digital signal processors (Digital Signal Processor, DSP), application specific integrated circuits (Application Specific Integrated Circuit, ASIC), Field-Programmable Gate Array (FPGA) or other programmable logic devices, discrete gates or transistor logic devices, discrete hardware components, etc.
  • the general-purpose processor may be a microprocessor or the processor may also be any conventional processor or the like.
  • the memory 71 may be an internal storage unit of the terminal device 7, for example, a hard disk or a memory of the terminal device 7.
  • the memory 71 may also be an external storage device of the terminal device 7, such as a plug-in hard disk equipped on the terminal device 7, a Smart Media Card (SMC), or a Secure Digital (SD) card. Flash Card, etc.
  • the memory 71 may also include both an internal storage unit of the terminal device 7 and an external storage device.
  • the memory 71 is used to store the computer program and other programs and data required by the terminal device.
  • the memory 71 can also be used to temporarily store data that has been output or will be output.
  • the integrated module/unit is implemented in the form of a software functional unit and sold or used as an independent product, it can be stored in a computer readable storage medium.
  • the present application implements all or part of the processes in the above-mentioned embodiments and methods, and can also be completed by instructing relevant hardware through a computer program.
  • the computer program can be stored in a computer-readable storage medium. When the program is executed by the processor, it can implement the steps of the foregoing method embodiments.
  • the computer program includes computer program code, and the computer program code may be in the form of source code, object code, executable file, or some intermediate forms.
  • the computer-readable medium may include: any entity or device capable of carrying the computer program code, recording medium, U disk, mobile hard disk, magnetic disk, optical disk, computer memory, read-only memory (ROM, Read-Only Memory) , Random Access Memory (RAM, Random Access Memory), electrical carrier signal, telecommunications signal, and software distribution media, etc.
  • ROM Read-Only Memory
  • RAM Random Access Memory
  • electrical carrier signal telecommunications signal
  • software distribution media etc.
  • the content contained in the computer-readable medium can be appropriately added or deleted according to the requirements of the legislation and patent practice in the jurisdiction.
  • the computer-readable medium Does not include electrical carrier signals and telecommunication signals.
  • Embodiments of the present application also provide a computer-readable storage medium.
  • the computer-readable storage medium may be the computer-readable storage medium included in the memory in the above-mentioned embodiment;
  • the computer-readable storage medium stores one or more computer programs:
  • the computer-readable storage medium includes the computer-readable storage medium storing a computer program, and when the computer program is executed by a processor, the steps of the method for determining the strategy for medium and long-term electricity purchase and sale are realized.
  • the disclosed device/terminal device and method may be implemented in other ways.
  • the device/terminal device embodiments described above are only illustrative.
  • the division of the modules or units is only a logical function division, and there may be other divisions in actual implementation, such as multiple units.
  • components can be combined or integrated into another system, or some features can be omitted or not implemented.
  • the displayed or discussed mutual coupling or direct coupling or communication connection may be indirect coupling or communication connection through some interfaces, devices or units, and may be in electrical, mechanical or other forms.
  • the units described as separate components may or may not be physically separated, and the components displayed as units may or may not be physical units, that is, they may be located in one place, or they may be distributed on multiple network units. Some or all of the units may be selected according to actual needs to achieve the objectives of the solutions of the embodiments.
  • the functional units in the various embodiments of the present invention may be integrated into one processing unit, or each unit may exist alone physically, or two or more units may be integrated into one unit.
  • the above-mentioned integrated unit can be implemented in the form of hardware or software functional unit.

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Abstract

一种用于中长期购售电的策略确定方法及装置，该方法包括：根据标的时段的已知信息，获取交易后的持仓量、交易后的持仓总价、负荷总期望、总风险电费和期望电费；根据总风险电费和期望电费，确定购售策略。通过中长期合约交易量的一定约束和风险电费的上限约束，获取期望电费最低的购售策略；其中将期望电费作为优化目标函数，并在多元化约束的基础上，进行综合优化，得到负荷约束、风险可控的最优电费策略；该方法根据自身情况，能够快速准确的评估合约价值、测算合约风险、组合购售策略，提高了评估的准确性，降低购售交易风险，确定最优购销策略。

Description

一种用于中长期购售电的策略确定方法及装置 技术领域
本发明属于电力交易技术领域，尤其涉及一种用于中长期购售电的策略确定方法及装置。
背景技术
传统模式下，电力批发市场以中长期物理合约为主，合约交割一般以批发量与实际用量的偏差执行偏差考核，且物理合约只讲“总量”而没有“负荷曲线”的概念，交易品类与窗口都十分有限；进入电力现货模式后，批发市场的中长期合约也逐步转为金融性质，采用差价结算方式进行交割，以广东电力市场为例，同一标的日的交易窗口多达上百个，且交易品类丰富(双边、挂牌、集中、年、月、周、日前、实时)，而“负荷曲线”的引入更使得电量商品的价值评估变得困难。基于以上背景，售电公司及其它批发侧交易主体在高频、多品类、多对象的交易市场中，如何根据自身情况(代理用户的负荷、保函等交易约束、风险偏好)快速准确的评估合约价值、测算合约风险、组合购售策略，成为了紧迫和必要的需求。
技术问题
本发明实施例的目的在于提供一种用于中长期购售电的策略确定方法、装置、终端设备及计算机可读存储介质，以解决现有技术中无法快速准确的评估合约价值、测算合约风险、组合购售策略等问题。
技术解决方案
本发明实施例的第一方面，提供了一种用于中长期购售电的策略确定方法，包括：
根据标的时段的初始持仓量、初始持仓价格、定比例合约的数量、定比例合约的分时电量、定比例合约的均单价、定量合约的数量、定量合约的分时电量和定量合约的均单价，获取交易后的持仓量和交易后的持仓总价；
预设目标仓位范围，根据所述初始持仓量、实际负荷量、实际负荷量预测期望值、敞口、所述目标仓位范围和所述交易后的持仓量，获取负荷总期望；
根据实际负荷正向最大波动值、所述初始持仓量、现货价格正向最大波动值、所述实际负荷量预测期望值、现货价格预测期望值和所述交易后的持仓量，获取总风险电费；
根据所述敞口、所述现货价格预测期望值、所述初始持仓量、所述初始持仓价格、所述交易后的持仓量和所述交易后的持仓总价，获取期望电费；
根据所述总风险电费和所述期望电费，确定购售策略。
本发明实施例的第二方面，提供了一种用于中长期购售电的策略确定装置，包括：
信息确定模块，用于根据标的时段的初始持仓量、初始持仓价格、定比例合约的数量、定比例合约的分时电量、定比例合约的均单价、定量合约的数量、定量合约的分时电量和定量合约的均单价，获取交易后的持仓量和交易后的持 仓总价；
负荷总期望获取模块，用于预设目标仓位范围，根据所述初始持仓量、实际负荷量、实际负荷量预测期望值、敞口、所述目标仓位范围和所述交易后的持仓量，获取负荷总期望；
总风险电费获取模块，用于根据实际负荷正向最大波动值、所述初始持仓量、现货价格正向最大波动值、所述实际负荷量预测期望值、现货价格预测期望值和所述交易后的持仓量，获取总风险电费；
期望电费获取模块，用于根据所述敞口、所述现货价格预测期望值、所述初始持仓量、所述初始持仓价格、所述交易后的持仓量和所述交易后的持仓总价，获取期望电费；
购售策略确定模块，用于根据所述总风险电费和所述期望电费，确定购售策略。
本发明实施例的第三方面，提供了一种终端设备，包括存储器、处理器以及存储在所述存储器中并可在所述处理器上运行的计算机程序，所述处理器执行所述计算机程序时实现所述用于中长期购售电的策略确定方法的步骤。
本发明实施例的第四方面，提供了一种计算机可读存储介质，所述计算机可读存储介质存储有计算机程序，所述计算机程序被处理器执行时实现所述用于中长期购售电的策略确定方法的步骤。
有益效果
本发明实施例提供的一种用于中长期购售电的策略确定方法的有益效果至少在于：本发明实施例在已购电量基础上，制定某一中长期合约购售策略(多合约组合)，每一策略相对实际负荷期望都会有一定余量，余量部分由现货市场进行平衡，通过已有持仓+中长期交易+现货市场交易三部分，计算出该策略下的风险电费与期望电费，通过中长期合约交易量的一定约束和该策略形成的风险电费的上限约束，获取期望电费最低的购售策略；将期望电费做为优化目标函数，并在多元化约束的基础上，进行综合优化，得到负荷约束、风险可控的最优电费策略；该方法根据自身情况，例如代理用户的负荷、保函等交易约束、风险偏好等，能够快速准确的评估合约价值、测算合约风险、组合购售策略，提高了评估的准确性，降低购售交易风险，保证获取最优购销交易；该方法制定策略迅速、实现流程简单，实现了智能化处理。
附图说明
为了更清楚地说明本发明实施例中的技术方案，下面将对实施例或现有技术描述中所需要使用的附图作简单地介绍，显而易见地，下面描述中的附图仅仅是本发明的一些实施例，对于本领域普通技术人员来讲，在不付出创造性劳动的前提下，还可以根据这些附图获得其它的附图。
图1是本发明实施例提供的用于中长期购售电的策略确定方法的实现流程示意图；
图2是本发明实施例提供的用于中长期购售电的策略确定方法中获取负荷总期望的实现流程示意图；
图3是本发明实施例提供的用于中长期购售电的策略确定方法中获取总风险电费的实现流程示意图；
图4是本发明实施例提供的用于中长期购售电的策略确定方法中获取期望电费的实现流程示意图；
图5是本发明实施例提供的用于中长期购售电的策略确定装置的示意图；
图6是本发明实施例提供的用于中长期购售电的策略确定装置中负荷总期望获取模块的示意图；
图7是本发明实施例提供的用于中长期购售电的策略确定装置中总风险电费获取模块的示意图；
图8是本发明实施例提供的用于中长期购售电的策略确定装置中期望电费获取模块的示意图；
图9是本发明实施例提供的终端设备的示意图。
本发明的实施方式
以下描述中，为了说明而不是为了限定，提出了诸如特定系统结构、技术之类的具体细节，以便透彻理解本发明实施例。然而，本领域的技术人员应当清楚，在没有这些具体细节的其它实施例中也可以实现本发明。在其它情况中，省略对众所周知的系统、装置、电路以及方法的详细说明，以免不必要的细节妨碍本发明的描述。基于所描述的本发明的实施例，本领域普通技术人员所获得的所有其他实施例，都属于本发明保护的范围。若未特别指明，实施例中所用的技术手段为本领域技术人员所熟知的常规手段。
应当理解，当在本说明书和所附权利要求书中使用时，术语“包括”指示所描述特征、整体、步骤、操作、元素和/或组件的存在，但并不排除一个或多个其它特征、整体、步骤、操作、元素、组件和/或其集合的存在或添加。
还应当理解，在此本申请说明书中所使用的术语仅仅是出于描述特定实施例的目的而并不意在限制本申请。如在本申请说明书和所附权利要求书中所使用的那样，除非上下文清楚地指明其它情况，否则单数形式的“一”、“一个”及“该”意在包括复数形式。
还应当进一步理解，在本申请说明书和所附权利要求书中使用的术语“和/或”是指相关联列出的项中的一个或多个的任何组合以及所有可能组合，并且包括这些组合。
如在本说明书和所附权利要求书中所使用的那样，术语“如果”可以依据上下文被解释为“当...时”或“一旦”或“响应于确定”或“响应于检测到”。类似地，短语“如果确定”或“如果检测到[所描述条件或事件]”可以依据上下文被解释为意指“一旦确定”或“响应于确定”或“一旦检测到[所描述条件或事件]”或“响应于检测到[所描述条件或事件]”。
为了说明本发明所述的技术方案，下面通过具体实施例来进行说明。
参阅图1，是本发明实施例提供的用于中长期购售电的策略确定方法的实现流程示意图，该方法可以包括：
步骤S10：根据标的时段的初始持仓量、初始持仓价格、定比例合约的数 量、定比例合约的分时电量、定比例合约的均单价、定量合约的数量、定量合约的分时电量和定量合约的均单价，获取交易后的持仓量和交易后的持仓总价。
针对现货模式下的中长期合约策略，现有方法一般针对标准曲线，也集中场内交易所指定的D1/D2/D3曲线，这几类曲线的形态标准，购售双方仅需关注价格即可，决策难度较小；但在双边交易和挂牌交易时，合约曲线完全是自定义的，交易双方需要综合曲线形态、价格、持仓量来评估曲线的价值做出决策，难度大很多。
场外交易对交易曲线的限制有多种，既可以定形态不定量，也可以定形态且定量，现有方法一般针对前者，考虑在交易曲线形态一定的前提下优化购买量，无法对定形定量的曲线进行评价决策。
在差价结算的规则下，电力市场参与方在批发市场中更多的是在进行金融性质的博弈，而非单纯的物理层面的电量批发，这就决定了主体可以在批发市场中通过“低价买入-高价卖出”实现套利，目前方法一般只考虑满足物理负荷需求的购买策略，而鲜少考虑在批发市场中售卖已持合约的策略。
由于策略制定需要对用户负荷、现货价格进行预测，而这种预测很难保证准确，这使得任何购售策略都伴随着一定的风险，对于交易主体而言，风险可控也是交易策略的重要评估维度之一，在现有方法中尚未见到基于风险管控的策略寻优。
已知条件，考虑到交易规则中很多交易限制是以整月为周期的(如月度净交易约束等)，方法假设标的期为整月或整月的倍数，即i∈[1,c×d×24](c为月份数，d为各个月的天数)，所以已知标的时段的初始持仓量价分别为
Figure PCTCN2020103656-appb-000001
已知标的时段的实际负荷量预测期望值
Figure PCTCN2020103656-appb-000002
和正向最大波动值
Figure PCTCN2020103656-appb-000003
已知标的时段的现货价格预测期望值
Figure PCTCN2020103656-appb-000004
和正向最大波动值
Figure PCTCN2020103656-appb-000005
已知潜在m份定比例合约的分时曲线比例与均单价分别为
Figure PCTCN2020103656-appb-000006
已知潜在n份定量合约的分时电量与均单价分别为
Figure PCTCN2020103656-appb-000007
已知月度净交易约束Q 月净，已知月度累计交易约束Q 月累计，已知月度保函约束剩余Q 保函，已知风险电费约束上限
Figure PCTCN2020103656-appb-000008
已知目标仓位范围
Figure PCTCN2020103656-appb-000009
假设标的期内某时点的现货价格为
Figure PCTCN2020103656-appb-000010
实际负荷量为
Figure PCTCN2020103656-appb-000011
二者在中长期交易预测中都遵循正态分布，即
Figure PCTCN2020103656-appb-000012
市场上会有很多可进行买卖的机会，都是有负荷形态和价格的合约，在不同品类下，这些“曲线”的形态、时长、电量、价格都不完全相同。根据算法处理逻辑不同，将其分为两大类：一类是负荷曲线形态确定，总量可以变化(有步长要求)，并有一个单价；一类是负荷曲线直接定量，并有一个总价。前者多见于集中竞价交易，后者为挂牌、双边的主要形式。对于定比例不定量的潜在合约j，计其分时电量为
Figure PCTCN2020103656-appb-000013
(i为分时序号，j为合约序号，r为分时电量占总比，Q为合约总电量)，合约单价为P j；对定量潜在合约k，计其分时电 量与合约单价分别为
Figure PCTCN2020103656-appb-000014
P k。
假设当前有可购可售的潜在合约共m+n份，其中定比例合约m份，分时电量与单价分别为
Figure PCTCN2020103656-appb-000015
定量合约n份，分时电量与单价分别为
Figure PCTCN2020103656-appb-000016
P k(k∈[1,n],r k＝0或1)，0代表不买，1代表买入；r k为一个系数，表示可以买也可以不买。用户可在一定约束下(下述)任意组合m+n份合约，从而改变持仓量与持仓总价。
交易后的持仓量获取方式为：
Figure PCTCN2020103656-appb-000017
其中，
Figure PCTCN2020103656-appb-000018
表征所述初始持仓量，
Figure PCTCN2020103656-appb-000019
表征定比例合约的分时电量，
Figure PCTCN2020103656-appb-000020
表征定量合约的分时电量，m表征定比例合约的数量，n表征定量合约的数量，i表征分时序号，j表征定比例合约序号，k表征定量合约序号，r表征分时电量占总比，Q表征合约总电量；
所述交易后的持仓总价获取方式为：
Figure PCTCN2020103656-appb-000021
其中，
Figure PCTCN2020103656-appb-000022
表征所述初始持仓价格，P j表征定比例合约的均单价，P k表征定量合约的均单价。
应当理解的是，此处标的期不限于整月，可以根据需要设置时间或者单位时间，此处不做限制。
请参阅图1，进一步地，在获取交易后的持仓量和交易后的持仓总价后，可以进行下述步骤：
步骤S20：预设目标仓位范围，根据所述初始持仓量、实际负荷量、实际负荷量预测期望值、敞口、所述目标仓位范围和所述交易后的持仓量，获取负荷总期望。
进一步地，为了获取负荷总期望，需要进行预设目标仓位范围。请参阅图2，是本发明实施例提供的用于中长期购售电的策略确定方法中获取负荷总期望的实现流程示意图，在本实施例中，根据仓位余量，预设目标仓位范围；根据所述实际负荷量、所述实际负荷量预测期望值、所述目标仓位范围、所述初始持仓量和敞口，获取负荷总期望模型；根据所述交易后的持仓量、所述目标仓位范围和所述负荷总期望模型，获取负荷总期望，所述交易后的持仓量至少符合所述目标仓位范围。获取负荷总期望的一种方式可以包括如下步骤：
步骤S201：根据仓位余量，预设目标仓位范围。
目标仓位范围为：
Figure PCTCN2020103656-appb-000023
其中，r 下限或r 上限表征根据经营情况预设比例，
Figure PCTCN2020103656-appb-000024
表征所述负荷总期望模型，
Figure PCTCN2020103656-appb-000025
表征所述实际负荷量，
Figure PCTCN2020103656-appb-000026
表征所述实际负荷量预测期望值。
在中长期交易时，考虑到之后还有多个交易窗口，一般会有意识的预留一定的仓位余量以备日后交易，设定出一个目标仓位的范围，在设定目标仓位和预留敞口时并不考虑预测的波动，仅以目标时段的负荷总期望
Figure PCTCN2020103656-appb-000027
为参照，且一般会按照比例来确定，即
Figure PCTCN2020103656-appb-000028
目标仓位的范围是由用户根据经营情况设置的比例，比如本次交易窗口预计要购入70％-80％的仓位。
应当理解的是，此处目标仓位的范围是根据用户经营情况决定的，数值不定，范围在0％-100％之间，此处不做限制。
步骤S202：根据所述实际负荷量、所述实际负荷量预测期望值、所述目标仓位范围、所述初始持仓量和敞口，获取负荷总期望模型。
负荷总期望模型获取方式为：
Figure PCTCN2020103656-appb-000029
其中，
Figure PCTCN2020103656-appb-000030
表征所述敞口。
实际负荷量、目标仓位、持仓量、敞口这几个概念之间的关系为：
Figure PCTCN2020103656-appb-000031
步骤S203：根据所述交易后的持仓量、所述目标仓位范围和所述负荷总期望模型，获取负荷总期望，所述交易后的持仓量至少符合所述目标仓位范围。
负荷总期望获取方式为：
Figure PCTCN2020103656-appb-000032
Figure PCTCN2020103656-appb-000033
将交易后的持仓量带入负荷总期望模型中，公式变为：
Figure PCTCN2020103656-appb-000034
Figure PCTCN2020103656-appb-000035
请参阅图1，进一步地，在获取负荷总期望后，可以进行下述步骤：
步骤S30：根据实际负荷正向最大波动值、所述初始持仓量、现货价格正向最大波动值、所述实际负荷量预测期望值、现货价格预测期望值和所述交易后的持仓量，获取总风险电费。
进一步地，为了获取总风险电费，需要进行预设置信度。请参阅图3，是本发明实施例提供的用于中长期购售电的策略确定方法中获取总风险电费的实现流程示意图，在本实施例中，预设置信度；根据实际负荷量正向最大波动值、所述初始持仓量、现货价格正向最大波动值、实际负荷量预测期望值、现货价格预测期望值，获取总风险电费模型；根据所述交易后的持仓量和所述总风险电费模型，获取总风险电费，所述总风险电费至少符合风险电费约束上限。获 取总风险电费的一种方式可以包括如下步骤：
步骤S301：预设置信度。
风险即指标的期的总风险电费，在寻优过程中其为一个约束量，即寻优追求的是“风险可接情况下的电费最优”，风险的计算方式遵循经济学中定义(将发生置信度为95％时的波动值视为最大风险情况，相应产生的损失视为风险)所述。
应当理解的是，此处置信度可以根据实际问题或者情况进行预设，范围在0％-100％之间，此处不做限制。
步骤S302：根据实际负荷量正向最大波动值、所述初始持仓量、现货价格正向最大波动值、实际负荷量预测期望值、现货价格预测期望值，获取总风险电费模型。
总风险电费模型的获取方式为：
Figure PCTCN2020103656-appb-000036
其中，
Figure PCTCN2020103656-appb-000037
表征所述实际负荷量正向最大波动值，
Figure PCTCN2020103656-appb-000038
表征所述现货价格正向最大波动值，
Figure PCTCN2020103656-appb-000039
表征所述现货价格预测期望值。
这里的“持仓”指用户合约已覆盖的量，
Figure PCTCN2020103656-appb-000040
为负荷的最大波动量，
Figure PCTCN2020103656-appb-000041
为现货价格的最大波动量。
步骤S303：根据所述交易后的持仓量和所述总风险电费模型，获取总风险电费，所述总风险电费至少符合风险电费约束上限。
总风险电费的获取方式为：
Figure PCTCN2020103656-appb-000042
公式交易后的持仓量和交易后的持仓总价带入总风险电费模型后，风险公式变为：
Figure PCTCN2020103656-appb-000043
请参阅图1，进一步地，在获取总风险电费后，可以进行下述步骤：
步骤S40：根据所述敞口、所述现货价格预测期望值、所述初始持仓量、所述初始持仓价格、所述交易后的持仓量和所述交易后的持仓总价，获取期望电费。
进一步地，为了获取期望电费，需要首先获取期望电费模型。请参阅图4，是本发明实施例提供的用于中长期购售电的策略确定方法中获取期望电费的实现流程示意图，在本实施例中，根据所述敞口、所述现货价格预测期望值、所述初始持仓量和所述初始持仓价格，获取期望电费模型；根据所述交易后的持仓量、所述交易后的持仓总价和期望电费模型，获取期望电费。获取期望电费的一种方式可以包括如下步骤：
步骤S401：根据所述敞口、所述现货价格预测期望值、所述初始持仓量和所述初始持仓价格，获取期望电费模型。
期望电费模型的获取方式为：
Figure PCTCN2020103656-appb-000044
寻优目标为无风险电费最低，原公式为期望电费模型。
步骤S402：根据所述交易后的持仓量、所述交易后的持仓总价和期望电费模型，获取期望电费。
期望电费的获取方式为：
Figure PCTCN2020103656-appb-000045
将交易后的持仓量和交易后的持仓总价带入到期望电费模型，无风险电费变为：
Figure PCTCN2020103656-appb-000046
请参阅图1，进一步地，在获取总风险电费和期望电费后，可以进行下述步骤：
步骤S50：根据所述总风险电费和所述期望电费，确定购售策略。
交易约束主要包括：月度净合约量约束、月度累计合约量约束、履约保函额度约束。月度净合约量约束指月度标的期内的批发侧交易合约(即持仓量)代数和的上限，计为Q 月净；月度累计合约量约束是指以月度为标的期进行的买卖合约量的绝对值总和(即交易里程)上限，计为Q 月累计；履约保函额度是根据售电公司预缴的保函金额来控制售电公司参与合约交易的年度总上限，标的月的保函量是其中一部分，计为Q 保函(该值一般由售电公司根据年度规划来制定，在优化时可视为已知量)。
所述符合月度净交易约束的获取方式为：
Figure PCTCN2020103656-appb-000047
其中，Q 月净表征所述月度净交易约束。
所述符合月度保函约束剩余的获取方式为：
Figure PCTCN2020103656-appb-000048
其中，Q 保函表征所述月度保函约束剩余。
所述符合月度累计交易约束的获取方式为：
Figure PCTCN2020103656-appb-000049
其中，Q 月累计表征所述月度累计交易约束。
目标仓位范围满足如下约束条件：
Figure PCTCN2020103656-appb-000050
总风险电费至少符合风险电费约束上限的获取方式为：
Figure PCTCN2020103656-appb-000051
根据所述总风险电费和所述期望电费，确定购售策略中，确定购售策略时，所述期望电费的取值最小，且满足：
Figure PCTCN2020103656-appb-000052
Figure PCTCN2020103656-appb-000053
Figure PCTCN2020103656-appb-000054
Figure PCTCN2020103656-appb-000055
Figure PCTCN2020103656-appb-000056
用户在已购电量基础上，尝试某一中长期合约购售策略(多合约组合)，每一策略相对实际负荷期望都会有一定余量，这部分由现货市场进行平衡，通过已有持仓+中长期交易+现货市场交易三部分，可计算出该策略下的风险电费与期望电费；通过一定寻优算法，找出令期望电费最低的购售策略；其中中长期合约交易量有一定约束，策略形成的风险电费有上限约束。
应当理解的是，上述各种约束或取最小值，均是人为设定，如期望电费的取值可以是最小值，也可以是最大值；约束可以只限于目标仓位范围限制，不限于其他约束等，所以只要属于上述构思范围内，可以认为均属于本发明保护的范围之内，此处不做限制。
应当理解的是，以上各英文字母和/或符号仅是为清楚说明该方法所指的具体参数意义，也可用其他字母或者符号表示，此处不做限制。
应当理解的是，上述实施例中各步骤的序号的大小并不意味着执行顺序的先后，各过程的执行顺序应以其功能和内在逻辑确定，而不应对本发明实施例的实施过程构成任何限定。
本发明实施例提供的一种用于中长期购售电的策略确定方法有益效果至少在于：本发明实施例根据标的时段的初始持仓量、初始持仓价格、定比例合约的数量、定比例合约的分时电量、定比例合约的均单价、定量合约的数量、定量合约的分时电量和定量合约的均单价，获取交易后的持仓量和交易后的持仓总价；预设目标仓位范围，根据所述初始持仓量、实际负荷量、实际负荷量预 测期望值、敞口、所述目标仓位范围和所述交易后的持仓量，获取负荷总期望；根据实际负荷正向最大波动值、所述初始持仓量、现货价格正向最大波动值、所述实际负荷量预测期望值、现货价格预测期望值和所述交易后的持仓量，获取总风险电费；根据所述敞口、所述现货价格预测期望值、所述初始持仓量、所述初始持仓价格、所述交易后的持仓量和所述交易后的持仓总价，获取期望电费；根据所述总风险电费和所述期望电费，确定购售策略。该方法根据自身情况，例如代理用户的负荷、保函等交易约束、风险偏好等，能够快速准确的评估合约价值、测算合约风险、组合购售策略，提高了评估的准确性，降低购售交易风险，保证获取最优购销交易；该方法制定策略迅速、实现流程简单，实现了智能化处理。
本发明实施例的目的还在于提供一种用于中长期购售电的策略确定装置，图5是本发明实施例提供的用于中长期购售电的策略确定装置的示意图，为了便于说明，仅示出与本申请实施例相关的部分。
请参阅图5，用于设备模型趋势相似度的评估装置包括信息确定模块61、负荷总期望获取模块62、总风险电费获取模块63、期望电费获取模块64以及购售策略确定模块65。其中，信息确定模块61用于根据标的时段的初始持仓量、初始持仓价格、定比例合约的数量、定比例合约的分时电量、定比例合约的均单价、定量合约的数量、定量合约的分时电量和定量合约的均单价，获取交易后的持仓量和交易后的持仓总价；负荷总期望获取模块62用于预设目标仓位范围，根据所述初始持仓量、实际负荷量、实际负荷量预测期望值、敞口、所述目标仓位范围和所述交易后的持仓量，获取负荷总期望；总风险电费获取模块63用于根据实际负荷正向最大波动值、所述初始持仓量、现货价格正向最大波动值、所述实际负荷量预测期望值、现货价格预测期望值和所述交易后的持仓量，获取总风险电费；期望电费获取模块64用于期望电费获取模块，用于根据所述敞口、所述现货价格预测期望值、所述初始持仓量、所述初始持仓价格、所述交易后的持仓量和所述交易后的持仓总价，获取期望电费；购售策略确定模块65用于根据所述总风险电费和所述期望电费，确定购售策略。
请参阅图6，进一步地，负荷总期望获取模块62包括范围确定单元621、模型确定单元622以及负荷总期望确定单元623。其中，范围确定单元621用于根据仓位余量，预设目标仓位范围；模型确定单元622用于根据所述实际负荷量、所述实际负荷量预测期望值、所述目标仓位范围、所述初始持仓量和敞口，获取负荷总期望模型；负荷总期望确定单元623用于根据所述交易后的持仓量、所述目标仓位范围和所述负荷总期望模型，获取负荷总期望，所述交易后的持仓量至少符合所述目标仓位范围。
请参阅图7，进一步地，总风险电费获取模块63包括置信度获取单元631、模型获取单元632和总风险电费获取单元633。其中，置信度获取单元631用于预设置信度；模型获取单元632用于根据实际负荷量正向最大波动值、所述初始持仓量、现货价格正向最大波动值、实际负荷量预测期望值、现货价格预测期望值，获取总风险电费模型；总风险电费获取单元633用于根据所述交易 后的持仓量和所述总风险电费模型，获取总风险电费。
请参阅图8，进一步地，期望电费获取模块64包括期望电费模型获取单元641和期望电费获取单元642。其中，期望电费模型获取单元641用于根据所述敞口、所述现货价格预测期望值、所述初始持仓量和所述初始持仓价格，获取期望电费模型；期望电费获取单元642用于根据所述交易后的持仓量、所述交易后的持仓总价和期望电费模型，获取期望电费。
图9是本发明一实施例提供的终端设备的示意图。如图9所示，所述终端设备7，包括处理器70、存储器71以及存储在所述存储器71中并可在所述处理器70上运行的计算机程序72，所述处理器70执行所述计算机程序72时实现如获取目标对象状态的方法的步骤。例如图1-图4所示的步骤S10至S50。
所述终端设备7可以是桌上型计算机、笔记本、掌上电脑及云端服务器等计算设备。所述终端设备可包括，但不仅限于，处理器70、所述存储器71。本领域技术人员可以理解，图9仅仅是终端设备7的示例，并不构成对终端设备7的限定，可以包括比图示更多或更少的部件，或者组合某些部件，或者不同的部件，例如所述终端设备还可以包括输入输出设备、网络接入设备、总线等。
所称处理器70可以是中央处理单元(Central Processing Unit，CPU)，还可以是其它通用处理器、数字信号处理器(Digital Signal Processor，DSP)、专用集成电路(Application Specific Integrated Circuit，ASIC)、现场可编程门阵列(Field-Programmable Gate Array，FPGA)或者其它可编程逻辑器件、分立门或者晶体管逻辑器件、分立硬件组件等。通用处理器可以是微处理器或者该处理器也可以是任何常规的处理器等。
所述存储器71可以是所述终端设备7的内部存储单元，例如终端设备7的硬盘或内存。所述存储器71也可以是终端设备7的外部存储设备，例如所述终端设备7上配备的插接式硬盘，智能存储卡(Smart Media Card,SMC)，安全数字(Secure Digital,SD)卡，闪存卡(Flash Card)等。进一步地，所述存储器71还可以既包括所述终端设备7的内部存储单元也包括外部存储设备。所述存储器71用于存储所述计算机程序以及所述终端设备所需的其它程序和数据。所述存储器71还可以用于暂时地存储已经输出或者将要输出的数据。
所述集成的模块/单元如果以软件功能单元的形式实现并作为独立的产品销售或使用时，可以存储在一个计算机可读取存储介质中。基于这样的理解，本申请实现上述实施例方法中的全部或部分流程，也可以通过计算机程序来指令相关的硬件来完成，所述的计算机程序可存储于一计算机可读存储介质中，该计算机程序在被处理器执行时，可实现上述各个方法实施例的步骤。其中，所述计算机程序包括计算机程序代码，所述计算机程序代码可以为源代码形式、对象代码形式、可执行文件或某些中间形式等。所述计算机可读介质可以包括：能够携带所述计算机程序代码的任何实体或装置、记录介质、U盘、移动硬盘、磁碟、光盘、计算机存储器、只读存储器(ROM，Read-Only Memory)、随机存取存储器(RAM，Random Access Memory)、电载波信号、电信信号以及软件分发介质等。需要说明的是，所述计算机可读介质包含的内容可以根据司法 管辖区内立法和专利实践的要求进行适当的增减，例如在某些司法管辖区，根据立法和专利实践，计算机可读介质不包括电载波信号和电信信号。
具体可以如下，本申请实施例还提供了一种计算机可读存储介质，该计算机可读存储介质可以是上述实施例中的存储器中所包含的计算机可读存储介质；也可以是单独存在，未装配入终端设备中的计算机可读存储介质。所述计算机可读存储介质存储有一个或者一个以上计算机程序：
计算机可读存储介质，包括所述计算机可读存储介质存储有计算机程序，所述计算机程序被处理器执行时实现所述用于中长期购售电的策略确定方法的步骤。
所属领域的技术人员可以清楚地了解到，为了描述的方便和简洁，仅以上述各功能单元、模块的划分进行举例说明，实际应用中，可以根据需要而将上述功能分配由不同的功能单元、模块完成，即将所述装置的内部结构划分成不同的功能单元或模块，以完成以上描述的全部或者部分功能。实施例中的各功能单元、模块可以集成在一个处理单元中，也可以是各个单元单独物理存在，也可以两个或两个以上单元集成在一个单元中，上述集成的单元既可以采用硬件的形式实现，也可以采用软件功能单元的形式实现。另外，各功能单元、模块的具体名称也只是为了便于相互区分，并不用于限制本申请的保护范围。上述系统中单元、模块的具体工作过程，可以参考前述方法实施例中的对应过程，在此不再赘述。
在上述实施例中，对各个实施例的描述都各有侧重，某个实施例中没有详述或记载的部分，可以参见其它实施例的相关描述。
本领域普通技术人员可以意识到，结合本文中所公开的实施例描述的各示例的单元及算法步骤，能够以电子硬件、或者计算机软件和电子硬件的结合来实现。这些功能究竟以硬件还是软件方式来执行，取决于技术方案的特定应用和设计约束条件。专业技术人员可以对每个特定的应用来使用不同方法来实现所描述的功能，但是这种实现不应认为超出本发明的范围。
在本发明所提供的实施例中，应该理解到，所揭露的装置/终端设备和方法，可以通过其它的方式实现。例如，以上所描述的装置/终端设备实施例仅仅是示意性的，例如，所述模块或单元的划分，仅仅为一种逻辑功能划分，实际实现时可以有另外的划分方式，例如多个单元或组件可以结合或者可以集成到另一个系统，或一些特征可以忽略，或不执行。另一点，所显示或讨论的相互之间的耦合或直接耦合或通讯连接可以是通过一些接口，装置或单元的间接耦合或通讯连接，可以是电性，机械或其它的形式。
所述作为分离部件说明的单元可以是或者也可以不是物理上分开的，作为单元显示的部件可以是或者也可以不是物理单元，即可以位于一个地方，或者也可以分布到多个网络单元上。可以根据实际的需要选择其中的部分或者全部单元来实现本实施例方案的目的。
另外，在本发明各个实施例中的各功能单元可以集成在一个处理单元中，也可以是各个单元单独物理存在，也可以两个或两个以上单元集成在一个单元 中。上述集成的单元既可以采用硬件的形式实现，也可以采用软件功能单元的形式实现。
以上所述实施例仅用以说明本发明的技术方案，而非对其限制；尽管参照前述实施例对本发明进行了详细的说明，本领域的普通技术人员应当理解：其依然可以对前述各实施例所记载的技术方案进行修改，或者对其中部分技术特征进行等同替换；而这些修改或者替换，并不使相应技术方案的本质脱离本发明各实施例技术方案的精神和范围，均应包含在本发明的保护范围之内。

Claims (10)

  1. 一种用于中长期购售电的策略确定方法，其特征在于，包括：
    根据标的时段的初始持仓量、初始持仓价格、定比例合约的数量、定比例合约的分时电量、定比例合约的均单价、定量合约的数量、定量合约的分时电量和定量合约的均单价，获取交易后的持仓量和交易后的持仓总价；
    预设目标仓位范围，根据所述初始持仓量、实际负荷量、实际负荷量预测期望值、敞口、所述目标仓位范围和所述交易后的持仓量，获取负荷总期望；
    根据实际负荷正向最大波动值、所述初始持仓量、现货价格正向最大波动值、所述实际负荷量预测期望值、现货价格预测期望值和所述交易后的持仓量，获取总风险电费；
    根据所述敞口、所述现货价格预测期望值、所述初始持仓量、所述初始持仓价格、所述交易后的持仓量和所述交易后的持仓总价，获取期望电费；
    根据所述总风险电费和所述期望电费，确定购售策略。
  2. 如权利要求1所述的用于中长期购售电的策略确定方法，其特征在于，所述获取交易后的持仓量和交易后的持仓总价步骤中，所述交易后的持仓量获取方式为：
    Figure PCTCN2020103656-appb-100001
    其中，
    Figure PCTCN2020103656-appb-100002
    表征所述初始持仓量，
    Figure PCTCN2020103656-appb-100003
    表征定比例合约的分时电量，
    Figure PCTCN2020103656-appb-100004
    表征定量合约的分时电量，m表征定比例合约的数量，n表征定量合约的数量，i表征分时序号，j表征定比例合约序号，k表征定量合约序号，r表征分时电量占总比，Q表征合约总电量；
    所述交易后的持仓总价获取方式为：
    Figure PCTCN2020103656-appb-100005
    其中，
    Figure PCTCN2020103656-appb-100006
    表征所述初始持仓价格，P j表征定比例合约的均单价，P k表征定量合约的均单价。
  3. 如权利要求2所述的用于中长期购售电的策略确定方法，其特征在于，所述交易后的持仓量至少符合月度净交易约束和月度保函约束剩余、所述交易后的持仓量的绝对值总和至少符合月度累计交易约束，其中，所述符合月度净交易约束的获取方式为：
    Figure PCTCN2020103656-appb-100007
    其中，Q 月净表征所述月度净交易约束；
    所述符合月度保函约束剩余的获取方式为：
    Figure PCTCN2020103656-appb-100008
    其中，Q 保函表征所述月度保函约束剩余；
    所述符合月度累计交易约束的获取方式为：
    Figure PCTCN2020103656-appb-100009
    其中，Q 月累计表征所述月度累计交易约束。
  4. 如权利要求2所述的用于中长期购售电的策略确定方法，其特征在于，所述获取负荷总期望，包括：
    根据仓位余量，预设目标仓位范围，所述目标仓位范围为：
    Figure PCTCN2020103656-appb-100010
    其中，r 下限或r 上限表征根据经营情况预设比例，
    Figure PCTCN2020103656-appb-100011
    表征所述负荷总期望模型，
    Figure PCTCN2020103656-appb-100012
    表征所述实际负荷量，
    Figure PCTCN2020103656-appb-100013
    表征所述实际负荷量预测期望值；
    根据所述实际负荷量、所述实际负荷量预测期望值、所述目标仓位范围、所述初始持仓量和敞口，获取负荷总期望模型，所述负荷总期望模型获取方式为：
    Figure PCTCN2020103656-appb-100014
    其中，
    Figure PCTCN2020103656-appb-100015
    表征所述敞口；
    根据所述交易后的持仓量、所述目标仓位范围和所述负荷总期望模型，获取负荷总期望，所述交易后的持仓量至少符合所述目标仓位范围，所述负荷总期望获取方式为：
    Figure PCTCN2020103656-appb-100016
  5. 如权利要求4所述的用于中长期购售电的策略确定方法，其特征在于，所述目标仓位范围满足如下约束条件：
    Figure PCTCN2020103656-appb-100017
  6. 如权利要求4所述的用于中长期购售电的策略确定方法，其特征在于，所述获取总风险电费，包括：
    预设置信度；
    根据实际负荷量正向最大波动值、所述初始持仓量、现货价格正向最大波动值、实际负荷量预测期望值、现货价格预测期望值，获取总风险电费模型，所述总风险电费模型的获取方式为：
    Figure PCTCN2020103656-appb-100018
    其中，
    Figure PCTCN2020103656-appb-100019
    表征所述实际负荷量正向最大波动值，
    Figure PCTCN2020103656-appb-100020
    表征所述现货价格正向最大波动值，
    Figure PCTCN2020103656-appb-100021
    表征所述现货价格预测期望值；
    根据所述交易后的持仓量和所述总风险电费模型，获取总风险电费，所述 总风险电费至少符合风险电费约束上限，所述总风险电费的获取方式为：
    Figure PCTCN2020103656-appb-100022
    所述总风险电费至少符合风险电费约束上限的获取方式为：
    Figure PCTCN2020103656-appb-100023
  7. 如权利要求6所述的用于中长期购售电的策略确定方法，其特征在于，所述获取期望电费，包括：
    根据所述敞口、所述现货价格预测期望值、所述初始持仓量和所述初始持仓价格，获取期望电费模型，所述期望电费模型的获取方式为：
    Figure PCTCN2020103656-appb-100024
    根据所述交易后的持仓量、所述交易后的持仓总价和期望电费模型，获取期望电费，所述期望电费的获取方式为：
    Figure PCTCN2020103656-appb-100025
  8. 如权利要求7所述的用于中长期购售电的策略确定方法，其特征在于，所述根据所述总风险电费和所述期望电费，确定购售策略中，确定购售策略时，所述期望电费的取值最小，且满足：
    Figure PCTCN2020103656-appb-100026
    Figure PCTCN2020103656-appb-100027
    Figure PCTCN2020103656-appb-100028
    Figure PCTCN2020103656-appb-100029
    Figure PCTCN2020103656-appb-100030
  9. 一种用于中长期购售电的策略确定装置，其特征在于，包括：
    信息确定模块，用于根据标的时段的初始持仓量、初始持仓价格、定比例合约的数量、定比例合约的分时电量、定比例合约的均单价、定量合约的数量、定量合约的分时电量和定量合约的均单价，获取交易后的持仓量和交易后的持仓总价；
    负荷总期望获取模块，用于预设目标仓位范围，根据所述初始持仓量、实际负荷量、实际负荷量预测期望值、敞口、所述目标仓位范围和所述交易后的持仓量，获取负荷总期望；
    总风险电费获取模块，用于根据实际负荷正向最大波动值、所述初始持仓量、现货价格正向最大波动值、所述实际负荷量预测期望值、现货价格预测期望值和所述交易后的持仓量，获取总风险电费；
    期望电费获取模块，用于根据所述敞口、所述现货价格预测期望值、所述初始持仓量、所述初始持仓价格、所述交易后的持仓量和所述交易后的持仓总价，获取期望电费；
    购售策略确定模块，用于根据所述总风险电费和所述期望电费，确定购售策略。
  10. 一种终端设备，包括存储器、处理器以及存储在所述存储器中并可在所述处理器上运行的计算机程序，其特征在于，所述处理器执行所述计算机程序时实现如权利要求1所述方法的步骤。
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