In order to solve the problem of privacy leakage in the transaction process of block chain, by improving the SM9 identification cryptography algorithm, a multi KGC group signature scheme based on SM9 algorithm was proposed for the first time. Based on the alliance chain, a privacy preserving scheme in block chain with provably secure was designed based on SM9 algorithm. By analyzing the security and efficiency about this scheme, it is proved that the proposed scheme has many advantages, such as signature unforgery, the node anonymity, forward security, and so on. By analyzing the efficiency, the proposed scheme decreases twice bilinear pairing operations compared with the certificateless signature scheme proposed by Al-Riyami S Ss', and the efficiency of signature verifying is increased by about 40%. Moreover, the proposed scheme cuts down four times and twice exponent operations compared with schemes of Tseng Y Ms' and Chen Ys', the overall calculation efficiency is improved. The user identity of two parties can be protected by the cryptographic operation, and the privacy preserving of the nodes is achieved.