The invention provides a multi-area interconnected power system wind power consumption optimization method considering connection line electricity transaction scheme. The method comprises the following steps: determining time period and step length of problem research, and collecting calculation data of each province; summarizing data of system thermal power units, grouping the units having same operation parameters into same class and summarizing the number of units in each class; establishing a multi-province interconnected power system wind power consumption optimization module; solving the optimization module by utilizing a solver CPLEX to obtain an optimal solution; and calculating wind power consumption quantity and wind power abandon quantity of each province. The method greatly reduces the number of variables and improves problem solving speed; by introducing wind power abandon section penalty factors and setting value of each section of penalty factor, wind power abandon sequence can be controlled; and with the connection line electricity transaction scheme being taken into consideration, by optimizing connection line power, resource optimized allocation is realized in multiple provinces, and whole-grid wind power priority consumption is realized.