At present, the electricity market is actively promoting bilateral transactions between generation companies and large consumers in China. Under this background, according to the change of information acquired by the players in the trading process, this paper constructs a Bayesian game model based on sealed-bid auction theory in the initial stage of incomplete information game, and determines the marginal quotation growth parameters of generation companies. In the subsequent multi-round game, considering the influence of spot market on large power consumer’s direct buying, this paper constructs the master-slave game model between generation companies and large consumers from the two decision-making perspectives of the generation companies’ quotation and large consumer’s purchasing strategy. The aim of the model is to maximize the profit of each player. Based on Particle Swarm Optimization (PSO) algorithm, the model is simulated and calculated. Finally, the strategic behavior of generation companies and large consumers and the market influence of bilateral direct purchase transactions for large consumers are analyzed in depth. This work is supported by National Natural Science Foundation of China (No. 51507117).