High-frequency intraday trading for battery storages
2025/04/09 by David Schaurecker, David Wozabal, Schaurecker, David +5 · 19 voices · 1 citation
Business, Management and Accounting · Computer Science · Economics, Econometrics and Finance · Engineering · Mathematics · #Advanced Battery Technologies Research #Advanced Queuing Theory Analysis #Optimization and Search Problems #cs.SY #eess.SY #math.OC #q-fin.TR
paper · pdf · doi:10.48550/arxiv.2504.06932
published as Appl. Energy (2026) 128550
openalex publication_date 2025/04/09 · openalex created_date 2025/10/01 · openalex updated_date 2026/07/28 · arxiv created 2026/07/31 · arxiv updated 2026/08/03
Abstract
Maximizing revenue for grid-scale battery energy storage systems in continuous intraday electricity markets requires strategies that are able to seize trading opportunities as soon as new information arrives. This paper introduces and evaluates a computationally efficient, high-frequency implementation of the rolling intrinsic trading strategy for battery energy storage systems on the intraday market for power. By combining the established rolling intrinsic logic with a full limit order book representation and a fast dynamic programming approximation, our method explicitly considers the continuously updated list of buy and sell offers, market rules, a linear approximation of degradation, and other technical parameters at a millisecond resolution. The standard rolling intrinsic strategy is adapted for continuous intraday electricity markets and solved using a dynamic programming approximation that is two to three orders of magnitude faster than an exact mixed-integer linear programming solution. A detailed backtest over a full year of German order book data demonstrates that the proposed dynamic programming formulation does not reduce trading profits and enables the policy to react to every relevant order book update, enabling realistic rapid backtesting. Our results show the significant revenue potential of high-frequency trading: our policy earns 58% more than when re-optimizing only once every hour and 14% more than when re-optimizing once per minute, highlighting that profits critically depend on trading speed. Furthermore, we leverage the speed of our algorithm to train a parametric extension of the rolling intrinsic, increasing yearly revenue by 8.4% out of sample.
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- Maximizing Battery Storage Profits via High-Frequency Intraday Trading [hn, 283 points, 269 comments]
- This paper points out that a battery energy storage operator can discharge their batteries into a grid with a negative marginal spot price and still profit. Which I find delightful. arxiv.org/pdf/2504 [bsky, 4 points, 0 comments]
- "Maximizing Battery Storage Profits via High-Frequency Intraday Trading" Batteries can make money by trading power at high speeds, but now they can't charge and discharge at the same time. There are s [bsky, 0 points, 0 comments]
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- Maximizing Battery Storage Profits via High-Frequency Intraday Trading https://arxiv.org/abs/2504.06932 https://news.ycombinator.com/item?id=44255728 [bsky, 0 points, 0 comments]
- Maximizing Battery Storage Profits via High-Frequency Intraday Trading https://arxiv.org/abs/2504.06932 arxiv.org [bsky, 0 points, 0 comments]
- Maximizing Battery Storage Profits via High-Frequency Intraday Trading https://arxiv.org/abs/2504.06932 [bsky, 0 points, 0 comments]
- Maximizing Battery Storage Profits via High-Frequency Intraday Trading View Article | Join the HN Conversation Summary of HN discussion 🧵👇 #hacker-news [bsky, 0 points, 1 comments]
- Maximizing Battery Storage Profits via High-Frequency Intraday Trading https://arxiv.org/abs/2504.06932 [comments] [109 points] [bsky, 0 points, 0 comments]
- Maximizing Battery Storage Profits via High-Frequency Intraday Trading https://arxiv.org/abs/2504.06932 (https://news.ycombinator.com/item?id=44255728) [bsky, 0 points, 0 comments]
- Maximizing Battery Storage Profits via High-Frequency Intraday Trading https://arxiv.org/abs/2504.06932 [bsky, 0 points, 0 comments]
- ⚡ Hackernews Top story: Maximizing Battery Storage Profits via High-Frequency Intraday Trading [bsky, 0 points, 0 comments]
- Maximizing Battery Storage Profits via High-Frequency Intraday Trading https://arxiv.org/abs/2504.06932 (http://news.ycombinator.com/item?id=44255728) [bsky, 0 points, 0 comments]
- Maximizing Battery Storage Profits via High-Frequency Intraday Trading https://arxiv.org/abs/2504.06932 (http://news.ycombinator.com/item?id=44255728) [bsky, 0 points, 0 comments]
- David Schaurecker, David Wozabal, Nils L\"ohndorf, Thorsten Staake: Maximizing Battery Storage Profits via High-Frequency Intraday Trading https://arxiv.org/abs/2504.06932 https://arxiv.org/pdf/2504.0 [bsky, 0 points, 1 comments]
- Maximizing Battery Storage Profits via High-Frequency Intraday Trading view on hacker news [bsky, 0 points, 0 comments]
- Maximizing Battery Storage Profits via High-Frequency Intraday Trading https://arxiv.org/abs/2504.06932 (https://news.ycombinator.com/item?id=44255728) [bsky, 0 points, 0 comments]
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