With the advance of electricity market reform, energy storage resources, as an independent market subject, provide a frequency modulation service, which is an effective measure to solve the shortage of system frequency modulation capacity. This paper builds a bi-level transaction decision-making model to simulate and analyze transaction decision-making behavior and market clearing process of energy storage in the market. First, the overall framework of energy storage participating in the spot energy and frequency modulation ancillary service market is proposed. Secondly, a bi-level market transaction decision-making model is established, in which energy storage stations are regarded as independent bidders. The upper level determines the bidding strategy of energy storage stations with the goal of maximizing the profits of energy storage stations. The lower level realizes the joint clearing of the electric energy and frequency modulation auxiliary service market. Then, the KKT conditions are applied to convert this bi-level model to a single level model, and thus the proposed model can be transformed into a mix-integer linear programming problem. Finally, case studies are conducted to verify the rationality and effectiveness of the proposed model. The numerical results show that energy storage can obtain higher economic benefits in the market through strategic bidding behaviors, and their profits in the frequency modulation market account for more than 80% of the total profits. This work is supported by the Management Science and Technology Project of the Headquarters of State Grid Corporation of China (No. 5419-202155242A-0-0-00).