By means of a suitable Bayesian game we study spot electricity markets from a structural point of view. We address the problem of individual and aggregate efficiency and we show how to value water from market observables. We compare the former to engineering methods and apply our methodology to Colombian spot electricity market. Our results show that big gas and small hydro plants overbid, resources are undervalued by engineering costs and aggregate costs would have been considerably smaller if agents had played optimally. Revealed costs show a substantial gain in efficiency in the Vickrey auction compared to the actual uniform auction.
