With the viewpoint of engineering, this paper describes the basic characteristics of wavelets and some concerned algorithms for construction of compactly supported orthogonal wavelet bases and realization of discrete wavelet transforms (DWT). After that, the discrete wavelet transform based approach is applied to compression of signal of fault induced transient travelling waves on transmission lines. To search an adaptive and optimal scheme for the signal compression, the varieties of the compression ratio and reconstruction error with the increase of the compression scale are studied. All algorithms adopted in this paper are controllable.