The present invention relates to the field of electric power management, and especially relates to construction of an electric power transaction supervision risk early warning system based on a unified and interconnected electric power market and a realization method thereof. The electric power transaction supervision risk early warning system comprises an electric power transaction supervision risk index system, a threshold system and a threshold model. The realization method comprises the concrete steps as follows: a step S01 of identifying risk indexes and determining electric power transaction supervision risk early warning indexes through expert experience; a step S02 of collecting correlation information of the risk early warning indexes; a step S03 of calculating corresponding risk assessed values of the acquired transaction processing information according to the risk indexes corresponding to risk models in combination with corresponding comprehensive fuzzy evaluation; and a step S04 of dividing risk early warning grades according to the risk assessed values in combination with the threshold system and giving proper risk early warning modes. According to the present invention, the electric power transaction supervision risk index system is established based on the unified and interconnected electric power market at present. In the environment of the unified and interconnected electric power market at present, the index system established in the present invention can be well adapted to the electric power market at present.