Using mechanism design theory， an incentive compatible double auction mechanism that admits multiple generation rights licensors and generation rights licensees is proposed. Firstly， a double auction process for generation rights trade is described. Secondly， a mathematical model considering various transaction costs is established， and a double auction mechanism based on it is presented. It is proved that the mechanism not only can satisfy incentive compatibility and individual rationality to all risk-averse generation rights licensors and generation rights licensees， but also can ensue the total system is weakly budget-balanced. Finally， numerical examples show that the proposed mechanism can achieve high efficiency.