In this paper, it takes the existing experimental electric power transmission price mechanism to the large power consumers of China as basis, combining the operation status of power market of Yunnan province with the power consuming status of the high energy-consuming enterprises, and then establishes profit model of triple sides, including power plants, power network corporations and large power consumers, under both "network purchasing" and "direct purchasing" mode. Through comparison to the profit of triple sides under both models, the essential conditions to implement the direct power purchase between power venders and vendees are presented, and then the advantages and disadvantages of the electric power transmission price mechanism are gotten out. In this paper, it takes the Yunnan Aluminum Industry Co. Ltd. as an example of direct power purchasing mode to calculate and analyze, and finally gives a "three-wins" program of the power plants, power network corporations and large power consumers, which provides a feasible foundation for establishing the direct power purchasing experiments of large power consumers in Yunnan province.