A new ocean circulation model in pressure (P) coordinates is established. Since the seabed pressure changes with time, the vertical coordinates used are actually p-sigma coordinates. The numerical solution of the model satisfies a set of finite difference schemes with energy conservation. The most important new feature of this model is that it is a completely compressible ocean model without Boussinesq approximation. The new model is different from many existing models in the following aspects: 1) accurate mass conservation form; 2) Calculate the density by using the instantaneous pressure in the field and the equation of state of UNESCO; 3) The density of momentum equation also adopts field density; 4) Difference scheme of total energy conservation. The preliminary test shows that the mode program runs smoothly and is very stable. The quasi-steady circulation pattern simulated by the new model is consistent with the existing model, but the time evolution process of reaching this quasi-steady circulation pattern is very different. This non-Boussinesq model can provide more accurate information for climate research and satellite observation.