The emerging electricity market of imperfect competition makes it possible for each power supplier to gain more profits through strategic bidding. However, no matter what kind of bidding strategy, it is essential to gain mass data and analyze them. Therefore, the data warehouse based on Web is applied to bidding strategy for power supplier in this paper. By this way, it would supply reasonable information to the decision maker. In order to take full advantage of web-based data warehouse, the author deeply analyzes each level in the classic triple-level structure of it. By introducing the software Agent technology to every part of the structure, the author proposes a web data warehouse system structure based on the Agent to solve the shortages of the web-based data warehouse system that traditional method can’t solve. To the important issue that how to integrate the useful web data to data warehouse, the method is proposed to transfer the HTML page into XML data source combined with Agent technology. So, the power supplier could make the best of network resource, and transfer them into own data warehouse for building the optimal bidding strategy. Additionally, the applications of Agent on the application server layer and on the data warehouse system are analyzed respectively. According to this method, the feasible and efficient web-based data warehouse could be constituted for the power supplier.