Stock index futures and stock market are interactive. The spot index of stock index futures trading is also the Shanghai and Shenzhen 300 Index. These 300 stocks are selected from Shanghai and Shenzhen stock markets, including their representative stocks, with high market coverage and high correlation with Shanghai Stock Exchange 180 Index and Shenzhen Stock Exchange 100 Index, with daily correlation as high as 99.7% and 99.22% respectively. From this point, we can see that their fluctuation direction is always the same, because the price of CSI 300 is traded in stock index futures, which has two functions, hedging and price discovery. The former proves to be consistent with the spot fluctuation direction, while the latter reveals the influence on its stock. The price formation of stock index futures is authentic, predictable, continuous and authoritative. The future stock index futures prices of different maturity months generated by centralized bidding can reflect investors' predictions on the future trend of the stock market.