At present, the peaking market of Northwest Power Grid is carried out offline based on the abandoned wind power and solar predicted day-ahead, which has the problems of poor real-time matching and confusion of market compensation benchmarks at all levels. The key to combine the problem is to achieve the coupling operation of peak shaving market and electricity energy market, and to explore the specific implementation methods: the boundary between peak shaving and electricity energy market is defined by calculating the benchmark output of thermal power units online, and the actual peaking contribution is defined by calculating the integral adjustment in real time. The demand transmission and orderly connection are realized by clarifying the boundary of markets at all levels within and between provinces, and the behavioral improvement is realized by direct feedback of power generation subjects through the solidification of price compensation standards. Finally, an example is used to verify the advantages of coupling operation in improving the power grid regulation efficiency and reflecting market value.