Electricity market interconnection is an effective approach to optimize the allocation of power resources. Based on the research of the electricity market interconnection model， and through the analysis of bidding strategy and game behaviors of market players in the interconnection market with bi-directional differential contracts， it is found that if players can make an accurate prediction of the market clearing price of the regional market， market players' optimal bidding strategies in the sub-regional market will be the clearing price of the regional market， the Nash equilibrium is thus achieved. Finally， the interconnection electricity market will evolve to the unified electricity market. Based on the analysis， a policy that open the interconnection electricity market gradually is proposed， and the practical examples are employed to verify the feasibility and superiority of the proposed method.