The invention provides a provincial power grid hedging electricity purchase optimization method. The method specifically comprises the steps of S1, acquiring data, wherein the data comprises load prediction data, the inter-provincial tradable electricity quantity, hydroelectricity prediction output, a local unit power generation schedule, an inter-provincial connecting line schedule and the like, S2, carrying out data analysis and processing, and calculating compressible space of a local thermal power unit in the next month, S3, building a provincial power grid hedging electricity purchase optimization model, and S4, designing a solving algorithm of the hedging electricity purchase optimization model. The step S4 further comprises the sub-steps of S4-1, calculating the lowest power generation capacity of the thermal power unit in the current month, and determining the electricity purchase optimization space, S4-2, comparing the inter-provincial transaction electricity price and the thermal power on-grid price with the transmission loss being considered, and carrying out rank ordering, and S4-3, firstly arranging uncontrollable power generation scheduling output and the lowest power generation of the thermal power unit with the insufficient section being undertaken by hydroelectricity, sequentially arranging thermal power and extra-provincial electricity according to a sequence from low to high of the on-grid price if the power is still insufficient, and ensuring the total power generation of various power supplies in the current month to meet an upper limit restriction until a load requirement is satisfied. The electricity purchase optimization method provided by the invention can significantly improve the on-grid proportion of clean power such as wind power and photovoltaic power, and the electricity purchase cost of a power grid company is reduced.