Abstract: For large customers, the optimal electricity purchasing strategy is discussed based on the multiple settlement system. In the cash contract market, the day- ahead market is discussed, and forward contracts and European call option are also discussed in the forward market. Taking the maximization of conditional value-at-risk (CVaR) as the objective function, the optimal electricity purchasing model in the day-ahead market for large customers is built, and the analytical solution of the model is also given. According to the analytical results, the effect of the electricity pricing of the day-ahead market, the outage cost and risk preference on the optimal purchasing power is analyzed. The results show that the optimal purchasing power of the day-ahead market for large customers will reduce with the increasing of electricity price, and increase with the increasing of outage loss. In addition, risk preferences of large customers will influence their power purchasing strategy, whose effect degree depends on such factors as the benefit from electricity, the electricity price of day-ahead market and the outage cost.