An essential issue in the hybrid energy storage system (HESS) control for smoothing wind farm output is designing a controller that can decompose the frequency component of wind power quickly and allocate the power to the respective device in online processing. In this paper, a HESS consists of conventional battery-Li-Ion Battery and Ultra Capacitor (UC) is adopted to meet the electric grid technical requirements for smoothing wind power. We propose a HESS power allocation control consisting of two stages: online wavelet filter and a novel power allocation optimization algorithm. An online wavelet filtering method is established to minimize the phase lag in decomposing frequency components. The results show a significant reduction in UCs' utilization as compared with conventional method. The optimization algorithm also provides an optimal power allocation between storage devices with fast enough computation time to satisfy the need of online processing.