Guidance of electricity generation via economic measures will be the mainstream in the future electricity market.High level wind penetration results in great difficulties for thermal-wind power cooperation.An optimal tracking control scheme is proposed to address this problem.The real-time electricity price is taken as the control input，the price responsive characteristic of thermal power plants is taken as the constraint，and the supply-demand balance of the whole market is taken as the objective function.The information fusion algorithm is applied to integrating the supply feedback and the wind forecast feed-forward，while the price sequence is optimized over the receding horizon.Since thermal power plants are financially motivated by the varying profit to provide peak regulation，the total supply dynamically tracks the system demand.Hence the wind power is effectively integrated into the grid.Numerical simulation results have verified the effectiveness of the proposed strategy.The strategy of pricing interaction can be used as a reference for decision-making for power system management and thermal power plant generation.