In the era of big data when large amount of economic activity data becomes available in real time，China shall，in the short run，establish a real-time and high-frequency macroeconomic indicator monitoring system based on big data，so as to better monitor and predict macroeconomic trends in real time，which is highly important for reducing policy time-lag，stabilizing market expectation and enhancing corporate confidence. To establish a real-time and high-frequency macroeconomic indicators，the comprehensive use of traditional statistical data and various emerging data sources，especially various real-time big data，becomes crucial. Regarding the technical route，it is possible to establish real-time and high-frequency macro indicators by way of the current prediction model. And three key issues，including mixed-frequency problem，high-dimension problem，and the coordination and utilization of structured and unstructured models，need to be well addressed in the process of model building. In China’s context，it is the right time and there is an urgent need to establish a real-time and high-frequency macroeconomic indicator monitoring system based on big data. The Central Government is advised to：attach great importance to this endeavor and advance it in a swift manner；establish a data sharing platform to effectively solve the problem of “data” islands；construct a real-time and high-frequency macroeconomic indicator monitoring system and corresponding implementation system；take a unified leadership and encourage multiple parties’ engagement.