Abstract: Under the background of industrial and commercial power users' full access to the market, industrial and commercial users who do not have direct access to the market will be purchased by the agent of the grid enterprise participating in the multi-timescale market. To balance the cost and multi-dimensional risk of agency power purchase, this paper deeply analyzes the multi-dimensional risk faced by power grid enterprises' agency power purchase. It proposes a multimarket trading strategy based on risk metrics. The study considers key risk factors such as public opinion, supply protection, and compliance, based on which an optimization model for proxy power purchase transactions based on multi-dimensional risk metrics is constructed through scenario simulation of risky uncertainties in proxy power purchase and cost analysis. The validity and applicability of the model is verified by analyzing the actual data of power grid enterprises in a certain province. It also provides theoretical references and technical support for the multi-timescale market trading strategy of power grid enterprises' proxy power purchase based on specific external scenarios and multi-dimensional risk combinations.