In recent years, China's commodity futures market has achieved rapid development. However, due to the short development time, the system and structure of China's commodity futures market need to be further improved. The efficiency and speculation of commodity futures market are high, and the risks of commodity futures market are also high. Therefore, it is particularly important to study the risk early warning of commodity futures market. Based on the theory of the existing commodity futures market risk early warning index system, combined with the development of China's commodity futures market, this paper constructs a commodity futures market risk early warning index system based on ten indexes, such as consistency index, consumer confidence index, stock price change rate, volume change rate and position change rate. Taking Zhengzhou PTA commodity futures as an example, this paper makes an empirical study by factor analysis and Logistic model, which shows that the constructed commodity futures market risk early warning index system is effective.