As on the condition of high orders of harmonics, linear Lagrange interpolation algorithm has oversize errors, while the same situation, parabola Lagrange interpolation algorithm on the condition of low sampled frequency with MU. A new improved algorithm is presented in this paper. According to the characteristics of electric network signal, a weighted function is constructed. The new algorithm with weighted average between the two closed items in the Lagrange interpolation algorithm is formed. According to the calculation thought, the improved algorithm is simulated and modeled by matlab7.0. Compared with the original algorithm, the new algorithm decreases the relative errors of each sampled points greatly and improves the measured accuracy of current, voltage and power magnitudes. By analyzing a typical power harmonic signal, on the condition of high orders of harmonics, the errors of weighted algorithm is improved markedly, and the effect of algorithm with harmonics is compressed availably. The results show that the algorithm has high accuracy, which satisfies the requirement of substation intelligent electronic device.