It is pointed out in the paper that the combined heat and power (CHP) enterprise should compete in the generation market.The coal consumption distribution method is introduced,and the revenue function for the CHP enterprise is presented for the first time.Based on the revenue function,the bidding strategy is made for the CHP enterprise to compete in the generation market.It is shown that the participants in the generation market should be classified into two parts including CHP enterprise and heat power plant.By considering the existence of two CHP enterprises and one heat power plant,the bidding process of CHP enterprise is discussed by the application of non-cooperative game theory under complete and incomplete information.It is concluded that the CHP enterprise should join in the competition of the generation market making the best of energy cascade utilization.