Searcharxiv⌕ Search
Home/Archive/arXiv

arXiv · 2504.06932

High-frequency intraday trading for battery storages

David Schaurecker·David Wozabal·Nils Löhndorf·Thorsten Staake
View original source ↗Read source document ↗Export metadata ↓

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.

Explore related subjects

q-fin.TRcs.SYeess.SYmath.OC

Keep this discovery

Explore connections, maps & timelines

BibTeXRIS

David Schaurecker, David Wozabal, Nils Löhndorf, Thorsten Staake. 2025-04-09. High-frequency intraday trading for battery storages. https://doi.org/10.1016/j.apenergy.2026.128550

Cite the original work for its findings. Save a collection to share your selection of sources.

KEEP EXPLORING

Related papers

arXiv2026

Deep Learning of Robust Market Making under Regime-Switching Order Flow

Classical market-making strategies based on stochastic control, such as the Avellaneda-Stoikov and the Gu\'{e}ant-Lehalle-Fernandez-Tapia (GLFT) extension, provide closed-form quoting rules, but rest on assumptions that break down at realistic microstructure timescales. One of them is that order flow is stationary, while empirical evidence points to the existence of regimes, possibly associated with algorithmic execution of metaorders. In this case, existing methods provide negative PnL. In this paper, we develop a deep reinforcement-learning market maker (RLMM) - a Rainbow-style distributional DQN (C51) which is calibrated and tested in a zero-intelligence limit order book. We find that, in the stationary setting, RLMM outperforms GLFT across the entire observed risk-return frontier. The RLMM is more robust to flow asymmetry than GLFT, but, like any stationarily trained strategy, it still suffers large drawdowns from inventory saturation under persistent directional imbalance. Augmenting the state of RLMM with two auxiliary signals - a Bayesian online change-point filter over the directional flow bias and a queue-adjusted quote-exposure imbalance -restores profitability. A final scenario-bandit step that reweights low-return regime scenarios further improves performance under random-persistence and correlated-direction stress.

q-fin.TR↗
arXiv2026

dexamine: A Python package for Uniswap event data on Ethereum

Decentralized exchanges record trading and liquidity provision on public blockchains, but empirical analysis requires interpreting these records and linking them to execution metadata. dexamine is a Python package that parses Uniswap v2 and v3 events on Ethereum. It converts transaction receipt logs into observations of trades and liquidity changes, with token quantities, pool state, transaction order, and gas information. The package separates data retrieval, contract metadata, protocol interpretation, and output construction. The repository provides recorded Ethereum responses and an offline reproducible example, and version 1 has been used to construct data for an empirical study of price discovery in decentralized markets.

q-fin.TR↗
arXiv2026

The Double-Edged Sword of Short-Selling Bans

We develop a theoretical model that endogenizes the regulator's decision to impose short-selling bans to prevent large stock price declines. Empirically, we test the model's predictions using the cross-sectional variation in short-selling restrictions implemented across European countries in 2020. Consistent with our model, we find that bans had a detrimental effect on liquidity and failed to support the average price levels, but were effective in limiting large price drawdowns. Finally, we show that the effectiveness of the bans depends on the share of informed stockholders, a central variable in our framework, thus informing the design of more effective regulatory responses.

q-fin.TR↗