Considering the current situation of China's power market and the electricity trading between provinces and regions， the objectives of construction of the power financial market of China are analyzed， and the concept is presented that the construction of such a power financial market should take the electricity trading between provinces and regions as the starting point for implementation in three stages. The boundary conditions for the stages are defined and the overall program of the evolution path of the stages are designed. Suggestions for the implementing path of China's power financial market are given.