Abstract: As the large-scale grid-connected wind power in Gansu increases the difficulty of system peak-shaving, the demand for grid-shaping auxiliary services is increasing. The core issue of the ancillary services transaction mechanism is how to obtain and price these ancillary services. In order to promote large-scale wind power grid-connected power generation, as the main provider of peak load adjustment auxiliary services, in order to stimulate the peaking enthusiasm of thermal power generation units, it is necessary to provide certain compensation for thermal power plants that provide peaking services to ensure that they can recover costs and obtain reasonable profit. Based on the above situation, this paper selects service acquisition and pricing strategies based on cost-benefit analysis. Based on the peak-trading problems of thermal power plants and wind farms, the paper analyzes the cost-effectiveness of peak-shaving, and at the same time, guarantees the enthusiasm of providing peak-sharing services. Peaking service thermal power plants provide certain compensation to ensure that they recover costs and even gain a reasonable profit. Due to the fact that the price difference is not significant within the province, the difference between Gansu wind power profits and thermal power is only considered in the cost difference. Based on the current status of auxiliary services and wind power participation in peak load adjustment in Gansu Province, this paper proposes a wind power peaking pricing model that is targeted based on the principle of “Cost-benefit analysis”. Finally, through the empirical analysis data of Gansu Province, an analogy analysis of the difference in windfall before and after peak load adjustment to ensure that thermal power plants participate in deep peaking has a reasonable return.