We've had real-time pricing in our area (ComEd/PJM) for over a decade now, and we even have celluar+Zigbee-enabled smart meters attached to all the homes. I even bought a gateway where I can read my usage with pretty good resolution every 10 seconds.
But, still, none of the large thermostat makers offer any type of integration to the local utility. Or even the local weather! ComEd actually offers a box with a 3G modem that sits outside next to the A/C compressor and will cycle it off when demand is too high. But even that has no connection to the inside system.
Ecobee. Nest. Honeywell. Johnson. What's up with everyone?