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To investigate difference of price's dynamic characteristics between different periods in different competitive electricity market, we applied multi fractal detrended moving average analysis (MF-DMA) to analyze multifractal natures of prices on-peak and off-peak of three typical localized electricity markets, namely, Canadian Alberta, Ontario and middle Columbia markets. The results demonstrate that there are huge differences multifractal natures of the prices between different periods in different markets. It provides a new view for uncovering dynamic features of prices in different periods.