The opening of the energy market makes the integrated energy system with single main body change to multi-main body mode, and the income of each main body is affected not only by its own but also by the decisions of other main body. Based on the integrated energy system structure of a system operator and multiple distributed energy suppliers and energy users, the paper establishes a multi-agent game interaction model of supply and demand in the system of day-trading, and establishes the agent optimization model to maximize their own benefits respectively. Based on the mayfly algorithm and optimization toolbox, the flow chart of game equilibrium solution is proposed. The simulation results show that the proposed algorithm has good convergence, and the multi-player interaction can realize the maximization of their respective benefits.