In the past, the research on the price discovery function of futures market mainly focused on the relationship between spot and futures prices. If the current futures price is an unbiased forecast of the future spot price, it can provide direct evidence to support that price discovery mainly occurs in the futures market. This type of test, also known as testing the efficiency of futures market, is closely related to the role of price discovery. Researchers use co-integration technology to investigate price discovery problems, because the cash and futures prices of the largest commodities are unstable. For unstable prices, traditional regression analysis may produce unreliable results. Non-stationary prices can be arbitrarily large or small, and there is no so-called regression. Real-time unbiased forecasting assumes that the equilibrium relationship means cash and futures prices, which may be multiplied by vectors. The co-integration of spot and futures prices also exists in the electricity supply price (in a static sense). Several sources (Schwartz and Szakmary Guan Lizhen; ; ; Karbuz Covey and Baesler, Zhu Ma) reported the futures price of soybean meal and the cash of many commodities. However, the result is mixed, with the dominant role between cash and futures prices. Other sources (and miles? Bailey; ; Baesler and Covey; German Chancellor gerhard schroder and Goodwin reported that there is no cointegration relationship between spot and futures prices of many other commodities. Therefore, the co-integration test results are inconsistent and difficult to explain.