In response to the production and sales of electricity of micro-grids in a new-type power system framework that include distributed new energy sources and energy storage systems, this paper studies the electricity trading problem of intelligent power grid based on user electricity consumption data. First, the framework of the electricity trading system for micro-grids as both electricity users and producers was discussed. Then, a data-driven ARIMA time series prediction model of electricity load within the micro-grid was established. Based on the load prediction and renewable power generation, the power purchase trading model and power sales trading model for micro-grids were constructed. Finally, the economy and effectiveness of the proposed method and dual-mode trading model were verified through simulation experiments.