The efficient and orderly operation of the market can not be separated from the co-ordination of these components. The efficient operation of the market can only be achieved when these elements are closely linked and effectively integrated, so that changes in market prices can reflect all information changes in a timely manner, it not only saves the time for investors to get market information, but also helps to increase the enthusiasm of investors to participate in the market, curb the enthusiasm for participation. The efficient functioning of markets can be measured by a combination of factors: the liquidity of assets, the volatility of market prices, the consideration cost of investors’participation in transactions, and the openness and transparency of market information. Similarly, the study of gold futures price can not get rid of the study of the theory of micro-market structure