This paper proposes a game model aiming at the game behaviour of multi-energy players including power, heat and natural gas loads in the electricity market and the natural gas market, and studies the behaviour of multi-energy players in aggregating user-side resources and participating in the electricity wholesale market. The pricing model of multi-energy players is established in leader-follower mode, and the operation optimization model of local energy system is established based on Stackelberg game. The example shows that the behaviour of the multi-energy player can integrate the user-side resources on the user side, so that the multi-energy player and the local energy system can find the optimal decision for operation optimization.