This is already done for industrial consumers that have necessary infrastructure installed - there are also some projects to enable demand response for individual consumers.

The problem is you can't just expose the prices without appropriate infrastructure support on the consumer side.

I was imagining consumers having contracts that stipulate how much the utility can turn their consumption on and off, and how often, and under what circumstances. This wouldn't necessarily require any real time decisions on the part of the consumers, although smart appliances that the utility could control would help. This is already available to a limited extent, with things like remotely controllable water heaters and AC compressors.