The data exchanged between power trading systems is complex and changeable. The traditional way of exchanging data is through web pages. Market members log on to the trade system website and download real-time transaction data in the form of text or tables. This method often cannot adapt to data explosion as the power trading reform. In this paper, the functional and nonfunctional requirements of power trading data exchange were first analyzed. Then an API-oriented interaction mechanism was proposed, based on which an interaction interface was designed. Finally, the mode and format were discussed. Considering the data security and scalability in the transmission process, the encryption and extension method of the data exchange interface were also studied. The data exchange interface of power trading designed in this paper has been applied in China's power trading system.