We study demand-side participation in an electricity market for an industrial consumer of electricity, with some flexibility to reduce demand, and capable of offering interruptible load reserve. Our consumer is a price maker, and the impact of its actions in the market is modelled via a bi-level optimization problem. We have extended a standard model for optimal strategic consumption, to the case where reserve offer curves need to be optimized simultaneously with consumption curves; our models provide intuition into this interaction. Furthermore, we provide tailor-made solution strategies for the resulting problems under uncertainty, and report numerical results of our implementation on instances over the full New Zealand network yielding a realistic and large problem set.