In order to cope with the problem that thermal power plants participate in direct power purchase transaction to reduce the ability of the grid to accept wind power, this paper proposes a new mode of wind farm and thermal power plant alliance to participate in direct power purchase transaction. Firstly, the game relationship between the participants of the direct power purchase is explained. And the benefits model of wind-thermal combined generation and the large consumer is established. Then based on the non-cooperative complete information dynamic game theory, the existence of Nash equilibrium is demonstrated, and the game model is established with the goal of bilateral revenue equilibrium and maximization. Finally, an example is given to verify that the wind farm and thermal power plant alliance participates in the direct power purchase is beneficial to increase the direct power purchase benefits of each participant, promoting the capacity of power grid to accept wind power, and improving the flexibility of the grid.