Abstract: In recent years, more energy to participate in power grid peak shaving tendency in Gansu province is increasingly obvious, clean energy development is swift and violent, the power structure, space truss structure has greatly changed, the system scale continues to expand, the ancillary services on peak mechanism is also put forward more requirements. The current domestic existing auxiliary service market transaction cost compensation and pricing mechanism is not perfect and the problem such as peak shaving of incentive mechanism is not sound. For further implement all measures to electric power system reform, the reduction of electric power commodity attribute, build effective competition market structure and market system, optimize the allocation of resources in a larger scope, need to further improve and deepen the power auxiliary service compensation mechanism (market). Because national electricity market model is different, it is difficult to establish a universal reingistic algorithm of auxiliary services, countries will according to your own experience and the structure of the power market, determine your pricing strategy, according to the actual situation, formulate suitable service mechanism of peak-load regulation. In this article, through analysis of the United States, the Nordic countries, countries such as Britain and Australia, the auxiliary service content, trading mechanism, compensation pricing method, etc., and extract its can be reference for the reform of Gansu power grid peak shaving, the macro view, the government strengthen macro management, enterprises improve their strength, and the public to actively participate in, and objectively look at foreign successful cases, under the condition of region in Gansu province to explore the stronger mechanism was improved. Through microscopic research, this paper puts forward the following Suggestions, such as unified electricity market, safeguard fair competition in the electric power, at the same time offers a clear signal of investment and construction, moment hold national policy vane, establish special auxiliary services policy research institute; Formulating appropriate region in Gansu power grid peak shaving the cost of ancillary services, cost analysis and strategy for accurate; Update the market main body concept, strengthen market theory study, improve the efficiency of market mechanism; Ability and quality of relevant personnel to ascend, promoting education and training; Especially the area of Gansu province ancillary services to perfect the compensation mechanism, this is one of the important link, etc. All of these in northwest Gansu province, we will improve the mechanism of peak shaving auxiliary services put forward constructive advice, as well as our country comprehensively deepen peak shaving auxiliary services provide reference and inspiration.