To fully use power transmission capacities of tie-lines and reduce the total operating costs of the power grid, a two-stage iterative optimization method is proposed to optimize exchange power of the tie-lines based on marginal power generation cost. The method iteratively optimizes exchange power of the tie-lines by successive two stages, starting from initial results of Unit Commitment (UC) of each regional power grid and initial exchange power of each tie-line. In the first stage, the exchange power of the tie-lines is optimized based on the marginal power generation costs of each regional power grid without changing the results of the UC. Then, the unit whose output power is continuously equal to the minimum technical outputs and with the highest marginal cost is turned off. After that, the second-stage iterative optimization of exchange power of the tie-lines is executed. The method can be easily applied to engineering practice because it is closely related to the actual dispatching process of the power grid, and only needs the regional power grid to provide the information of the marginal unit operation. This protects the data privacy of each regional power grid. Finally, a simulation is performed based on a case system of three regional grids and three tie-lines, and the simulation results verify the method. This work is supported by the National Natural Science Foundation of China (No. 51877112 and No. 61673226) and the Natural Science Foundation of the Jiangsu Higher Education Institutions of China (No. 17KJA470006 and No. 18KJA470003).