Abstract: With the rapid development of new energy generation technology, the pressure of new energy consumption in the power grid is increasingly prominent. At the same time, with the development of multi-energy conversion technology, the degree of coupling between power grids and other types of energy networks is increasing. How to use the flexibility resources of different energy networks to dissipate the blocked new energy has become an urgent issue to be studied. This paper proposes a multi-timescale trading strategy that takes into account the multi-energy demand response to participate in the consumption of blocked new energy sources. First, a multi-type demand response model for cold, heat and electric loads is established with full consideration of the characteristics of integrated energy system（IES）. Secondly, a price-based integrated demand response（IDR） day-ahead optimal scheduling model based on master-slave game theory is established in the day-ahead time scale, considering the equilibrium of interests of all parties in the process of new energy consumption. At the intra-day time scale, an incentive-based IDR intra-day rolling optimization scheduling model is developed to address the impact of the deviation from the new energy day-ahead forecast on system optimization. Finally, the effectiveness of the strategy proposed in this paper is verified by case simulation.