In the context of the development of energy Internet, it has become an inevitable trend for distributed generation （DG）and electric heating load to achieve internal production and consumption by forming a power supply alliance, promote the consumption of new energy, and participate in market-oriented transactions. The conditions for the existence of the market transaction mode of power supply alliance composed of DG and electric heating load are given. Secondly, using the cooperative game theory,the pricing mechanism under the alliance transaction mode is established, and the calculation method of the interests of each participant is proposed. Then, with the goal of optimizing the interests of the sellers of the proxy power supply alliance, the model of power supply alliance selection, day ahead matching and quotation is constructed. Finally, through the simulation and analysis of the alliance transaction mode, the feasibility and the effectiveness of the optimization decision model are proved.