As a complement to the medium and long-term market, the spot market plays an important role in maintaining the security and stability of the power grid. However, as spot trading is more proximate to the actual operation of the power system, the virtual power plant (VPP) is exposed to greater volatility in renewable energy output as well as market prices. To enhance its market competitiveness, this paper constructs a two-step optimization model for VPP participation in the spot market. Based on long-term transaction, the energy storage power is distributed based on the comprehensive forecasting error of renewable energy output. This makes the VPP obtain the maximum profit in the day-ahead market. The trading deviation penalty is reduced by adjusting the energy storage operation plan in the real-time market. The conditional value at risk is used to measure the risk of a trading strategy. The profit of VPP participation in the spot market is analyzed under different risk levels, thus providing a basis for decision makers with different risk appetites. The results show that: (1) The sensitivity of the growth rates of EtVaRαand EtCVaRα to risk level shows an opposite trend. And there is an excess of arbitrage power at low risk level. (2) Although the total cost decreases as the risk level increases, the actual profit in the spot market tends to increase and then decrease. The risk level of the VPP should be set at about 0.4 to make full use of energy storage and obtain the maximum market benefit. (3) The energy storage power can be distributed more accurately according to the forecasting error of renewable energy. This not only enhances its arbitrage ability, but also ensures its regulation ability, thus improving the overall benefit of VPP at different risk levels. (4) The sensitivity of the trend in the unit profit of traded quantity in the spot market to the trading proportion in the medium and long-term market is not monotonic.
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