In this article, author discusses the degree of association between China's commodity futures market and its international counterparts. Author establishes a co - integration relationship between the volume - series and open interest in food commodity futures market, using logarithm. The study suggests that there is a co - integration relation between the soybean futures price logarithm recorded in the Dalian market and the soybean spot price logarithm in the Heilongjiang market. This finding proves that China' s commodity futures markets have worked soundly. The study provides constructive ideas and poli cy proposals for the further development of China's commodity futures markets.