The global move towards efficient energy consumption and production has led to remarkable advancements in the design of the smart grid infrastructure. However, the potential of the smart grid remains limited without the integration of renewable energy resources. Energy trading is one way forward. This refers to the transfer of energy from an entity producing surplus energy to one with a deficit. Two aspects are of major importance: (i) preserving each entities privacy, and (ii) adopting a method that represents the decentralised nature of the smart grid architecture. In this project we address both of these aspects by utilising Bayesian game theory. It models individual knowledge for their players and is inherently decentralised.