And he added: "It is important we start well, it always is in a local derby.
"We have to make sure we are at it from the start, and I think we will be. When it's a local derby players do tend to be up for it, but we have make sure we are up for every game."
It's a big ask for struggling Northampton to go to London Rd against a Peterborough side who will fancy automatic promotion this season.
"We are getting to the stage of the season where we need points, but this is a good game for us," declared the Cobblers boss.
"We have nothing to fear. People will look at it and see us as a bit of an underdog, but I don't look at it in that way.
"I think if we can keep the Peterborough forward line quiet then we have a good chance."
Wouldn't Gray just love to have some of the striking threat that the POSH have. Gray this week has admitted begging teams to loan him players.
"The lads Peterborough have up front in Boyd, Mackail-Smith and McLean are always going to cause problems," admitted the Town boss.
"But we just have to make sure we defend properly, because I think we can get at them at the back as well."
Kick off at London Rd is at 3:00pm.
Over 1400 Cobbler's fans will be there and tickets are available until 5pm today at the Sixfields ticket office.