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The interconnection among all the components in Smart Grid may expose the customer information that are collected and processed in the smart meter or EMS. The privacy issue becomes more serious when customers collaborated on the power consumption. Even though many research efforts have been focused on enhancing the privacy in both the smart metering infrastructure and the interaction between the customer and the other domains, the privacy on the information exchange among customers has been neglected. In this paper, we propose the security framework of supporting the privacy with anonymity based on a hybrid identity based cryptography scheme, when customers exchange their information to trade their contracted power.