Energy price forecasting on timeseries I try to predict electricity price based on several factors from historical data (consumption, consumption prognosis, wind power, wind power prognosis). All datasets I retrieve from Nordpool webpage.

Are there better methods to predict price than ARIMA?

Example data looks like this (consumption per hours and day).

+----+-------------+----------+---------+---------+---------+---------+---------+---------+---------+---------+------+---------+---------+---------+---------+---------+---------+---------+
|    |    date     | holiday  |   0     |   1     |   2     |   3     |   4     |   5     |   6     |   7     | ...  |   17    |   18    |   19    |   20    |   21    |   22    |   23    |
+----+-------------+----------+---------+---------+---------+---------+---------+---------+---------+---------+------+---------+---------+---------+---------+---------+---------+---------+
| 0  | 2016-01-01  |       1  | 1818.0  | 1741.0  | 1660.0  | 1593.0  | 1545.0  | 1552.0  | 1605.0  | 1663.0  | ...  | 2433.0  | 2481.0  | 2335.0  | 2149.0  | 2000.0  | 1858.0  | 1713.0  |
| 1  | 2016-01-02  |       0  | 1615.0  | 1510.0  | 1461.0  | 1463.0  | 1476.0  | 1579.0  | 1683.0  | 1883.0  | ...  | 2703.0  | 2651.0  | 2435.0  | 2264.0  | 2092.0  | 2027.0  |  1822.0 |
| 2  | 2016-01-03  |       1  | 1724.0  | 1665.0  | 1671.0  | 1619.0  | 1642.0  | 1669.0  | 1810.0  | 1986.0  | ...  | 2896.0  | 2803.0  | 2621.0  | 2450.0  | 2294.0  | 2127.0  |  1998.0 |
| 3  | 2016-01-04  |       0  | 1844.0  | 1803.0  | 1789.0  | 1819.0  | 1903.0  | 2056.0  | 2434.0  | 2966.0  | ...  | 3198.0  | 3047.0  | 2919.0  | 2698.0  | 2463.0  | 2293.0  |  2079.0 |
| 4  | 2016-01-05  |       0  | 1940.0  | 1891.0  | 1952.0  | 1957.0  | 2031.0  | 2162.0  | 2559.0  | 3020.0  | ...  | 3300.0  | 3145.0  | 2928.0  | 2729.0  | 2562.0  | 2372.0  |  2193.0 |
+----+-------------+----------+---------+---------+---------+---------+---------+---------+---------+---------+------+---------+---------+---------+---------+---------+---------+---------+
SARIMAX if your "seasonality" is a clear sine/cosine can work OK (as long as you give the sine/cosine wave as the exogenous input). 
Also you could just try bunging it all into Facebook's Prophet.