Complex supply orders with ramping limitations and shadow pricing on the all-European day-ahead electricity market

•A model for Load Gradient Conditions on the all-European power exchange is proposed.•The formulation has the same theoretical complexity as operating clearing algorithms.•Shadow pricing is used to represent otherwise hidden costs of ramping limits.

Power suppliers potentially have several complicated economic and technical characteristics which can make their daily trading quite difficult on European power exchanges (PXs). The generally considered answers to this predicament are the invention and subsequent introduction of specific supply order types. The integration process of European PXs is ongoing, and the proposed common market is specified to incorporate a particular set of complex supply order types, some of which consider the case of bidders with binding load gradient conditions. A computationally efficient market clearing formulation is presented to implement these orders according to original specifications by bringing over useful elements e.g. shadow prices from American PXs.