In order to solve the problems of high cost, slow speed and lack of privacy protection of continuous double auction blockchain, a privacy protection scheme for direct transaction of micro grid based on alliance blockchain and continuous double auction is proposed. First, users participating in power transactions register with the regulatory center to obtain anonymous and anonymous transaction certificates matching the transaction. Secondly, after the consumers and producers match through the continuous double auction mechanism, the consumers confirm the authenticity of the accounts and electricity charges sent by the producers and create transaction records. Finally, the power producer sends the electricity charges and transaction records to the local aggregator, encrypts them, packs them into blocks, and broadcasts the verification to each aggregator node. Experimental results show that the proposed scheme has low computational overhead and energy consumption. The scheme is intelligent power transaction. The security application provides a certain reference.