Since China（Shanghai）Pilot Free Trade Zone has been set up，financial integrated supervision system has been found and coordination and cooperation mechanism has been set up initially. With fast development of finance in the zone，the supervision system could not cope with the need of finance market. The coordination mechanism of different supervision organization need to be improved，the way of supervision need to be totalized，the technology of supervision platform and data need to be integrated. Morever，the self-discipline of financial institution and similar financial institution need to be strengthened，and the mechanism of social participation and supervision need to set up. Therefore，the free trade zone need to set up the “four-in-one” model of finance supervision system. On the base of a drawing clear line of demarcation between different supervision institutions，the supervision system need to have a good mechanism between different institutions and can cover all financial institution and similar financial institution totally.