Simulation
The Simulation
class enables users to initialize simulation instances, set parameters, load the preprocessed LOB Data into the simulation, run the simulation, and return results.
Conceptually, you first set the parameters of the simulation (battery, dynamic programming, and simulation settings), then decide which days of LOB data to feed, before subsequently running the simulation for the desired amount of time. Order book traversals and optimizations happen in C++, while pre-/post-processing and settings are done in Python. Results are returned as Pandas dataframes and can be fed into the post-processing described below.
Source code in bitepy/simulation.py
24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156 157 158 159 160 161 162 163 164 165 166 167 168 169 170 171 172 173 174 175 176 177 178 179 180 181 182 183 184 185 186 187 188 189 190 191 192 193 194 195 196 197 198 199 200 201 202 203 204 205 206 207 208 209 210 211 212 213 214 215 216 217 218 219 220 221 222 223 224 225 226 227 228 229 230 231 232 233 234 235 236 237 238 239 240 241 242 243 244 245 246 247 248 249 250 251 252 253 254 255 256 257 258 259 260 261 262 263 264 265 266 267 268 269 270 271 272 273 274 275 276 277 278 279 280 281 282 283 284 285 286 287 288 289 290 291 292 293 294 295 296 297 298 299 300 301 302 303 304 305 306 307 308 309 310 311 312 313 314 315 316 317 318 319 320 321 322 323 324 325 326 327 328 329 330 331 332 333 334 335 336 337 338 339 340 341 342 343 344 345 346 347 348 349 350 351 352 353 354 355 356 357 358 359 360 361 362 363 364 365 366 367 368 369 370 371 372 373 374 375 376 377 378 379 380 381 382 383 384 385 386 387 388 389 390 391 392 393 394 395 396 397 398 399 400 401 402 403 404 405 406 407 |
|
__init__(start_date, end_date, storage_max=10.0, lin_deg_cost=4.0, loss_in=0.95, loss_out=0.95, trading_fee=0.09, num_stor_states=11, tec_delay=0, fixed_solve_time=0, solve_frequency=0.0, withdraw_max=10.0, inject_max=10.0)
Initialize a Simulation instance.
Parameters:
Name | Type | Description | Default |
---|---|---|---|
start_date
|
Timestamp
|
The start datetime of the simulation. Must be timezone aware. |
required |
end_date
|
Timestamp
|
The end datetime of the simulation. Must be timezone aware. |
required |
storage_max
|
float
|
The maximum storage capacity of the storage unit (MWh). Default is 10.0. |
10.0
|
lin_deg_cost
|
float
|
The linear degradation cost of the storage unit (€/MWh). Default is 4.0. |
4.0
|
loss_in
|
float
|
The injection efficiency of the storage unit (0-1]. Default is 0.95. |
0.95
|
loss_out
|
float
|
The withdrawal efficiency of the storage unit (0-1]. Default is 0.95. |
0.95
|
trading_fee
|
float
|
The trading fee for the exchange (€/MWh). Default is 0.09. |
0.09
|
num_stor_states
|
int
|
The number of storage states for dynamic programming. Default is 11. |
11
|
tec_delay
|
int
|
The technical delay of the storage unit (ms, >= 0). Default is 0. |
0
|
fixed_solve_time
|
int
|
The fixed solve time for dynamic programming (ms, >= 0 or -1 for realistic solve times). Default is 0. |
0
|
solve_frequency
|
float
|
The frequency at which the dynamic programming solver is run (min). Default is 0.0. |
0.0
|
withdraw_max
|
float
|
The maximum withdrawal power of the storage unit (MW). Default is 10.0. |
10.0
|
inject_max
|
float
|
The maximum injection power of the storage unit (MW). Default is 10.0. |
10.0
|
Source code in bitepy/simulation.py
25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 |
|
add_bin_to_orderqueue(bin_data)
Add an order binary file to the simulation's order queue.
Parameters:
Name | Type | Description | Default |
---|---|---|---|
bin_data
|
str
|
The path to the order binary file. |
required |
Source code in bitepy/simulation.py
127 128 129 130 131 132 133 134 |
|
add_df_to_orderqueue(df)
Add a DataFrame of orders to the simulation's order queue.
The DataFrame must have the same columns as the saved CSV files, with timestamps in UTC (seconds and milliseconds).
Parameters:
Name | Type | Description | Default |
---|---|---|---|
df
|
DataFrame
|
A DataFrame containing the orders to be added. |
required |
Processing Steps
- Validate that the timestamp columns ('start', 'transaction', 'validity') are timezone aware.
- Ensure that all timestamps are in the same timezone.
- Convert all timestamps to UTC and format them in ISO 8601.
Source code in bitepy/simulation.py
136 137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156 157 158 159 160 161 162 163 164 165 166 167 168 169 170 171 172 |
|
get_data_bins_for_each_day(base_path, start_date, end_date)
Generate a list of file paths for binary order book data for each day within a date range.
Parameters:
Name | Type | Description | Default |
---|---|---|---|
base_path
|
str
|
The base directory path where the binary files are stored. |
required |
start_date
|
Timestamp
|
The start date of the range. |
required |
end_date
|
Timestamp
|
The end date of the range. |
required |
Returns:
Name | Type | Description |
---|---|---|
list |
A list of file paths for each day's binary order book file. |
Source code in bitepy/simulation.py
210 211 212 213 214 215 216 217 218 219 220 221 222 223 224 225 226 227 228 229 230 231 232 233 234 235 |
|
get_logs()
Retrieve the logs generated by the simulation.
Returns:
Name | Type | Description |
---|---|---|
dict |
A dictionary containing simulation logs with the following keys: - decision_record: Final simulation schedule. - price_record: CID price data over the simulation duration. - accepted_orders: Limit orders accepted by the RI. - executed_orders: Orders sent to the exchange by the RI. - killed_orders: Orders that were missed at the exchange. |
Source code in bitepy/simulation.py
287 288 289 290 291 292 293 294 295 296 297 298 299 300 301 302 303 304 305 306 307 308 309 310 311 312 313 314 315 316 317 318 319 320 321 322 323 324 325 326 327 328 329 330 331 332 333 334 335 336 337 338 339 340 341 342 343 344 |
|
print_parameters()
Print the simulation parameters, including start/end times, storage settings, and various limits and costs.
Source code in bitepy/simulation.py
346 347 348 349 350 351 352 353 354 355 356 357 358 359 360 361 362 363 364 365 366 367 368 369 370 371 372 373 374 |
|
return_vol_price_pairs(is_last, frequency, volumes)
Retrieve volume-price pairs from the simulation.
Parameters:
Name | Type | Description | Default |
---|---|---|---|
is_last
|
bool
|
If True, indicates this is the last iteration of data. |
required |
frequency
|
int
|
The frequency (in seconds) at which price data is retrieved. |
required |
volumes
|
ndarray
|
A 1D numpy array of volumes for which prices are returned. |
required |
Returns:
Type | Description |
---|---|
pd.DataFrame: A DataFrame with columns: - current_time: Time of the export (UTC). - delivery_hour: Delivery period time (UTC). - volume: The volume for which the price is exported (MWh). - price_full: The full price (cashflow) for the volume (€). - worst_accepted_price: Market price of the worst matched order (€/MWh). |
Source code in bitepy/simulation.py
378 379 380 381 382 383 384 385 386 387 388 389 390 391 392 393 394 395 396 397 398 399 400 401 402 403 404 405 406 407 |
|
run(data_path, verbose=True)
Execute the simulation using binary data files.
The files must be named as: orderbook_YYYY-MM-DD.bin.
Parameters:
Name | Type | Description | Default |
---|---|---|---|
data_path
|
str
|
The directory containing the binary data files. |
required |
verbose
|
bool
|
If True, display progress logs. Default is True. |
True
|
Processing Steps
- Retrieve the list of binary file paths for the simulation period.
- Iterate through each day's data, add the file to the order queue, and run the simulation for that day.
Source code in bitepy/simulation.py
237 238 239 240 241 242 243 244 245 246 247 248 249 250 251 252 253 254 255 256 257 258 259 260 261 262 263 264 265 266 267 268 269 270 271 272 273 |
|
run_one_day(is_last)
Run the simulation for a single day.
Parameters:
Name | Type | Description | Default |
---|---|---|---|
is_last
|
bool
|
If True, indicates that this is the last iteration of data. |
required |
Processing Steps
- Execute the simulation for the provided day's data.
Source code in bitepy/simulation.py
275 276 277 278 279 280 281 282 283 284 285 |
|