Futures Market is a tool for financial pricing and a type of effective organization，the basic functions of which are price discovery and hedging. With the changes of international market trend of energy resources，how to ensure energy security and relieve the situations of energy and environment effectively by improving market mechanism is the number one priority in the energy area recent years. At this moment，the timing for introducing the tool of Futures Market is significant to manage the risk of energy price effectively and safeguard the sustainable development of economy in China.