Liquidity risk refers to the risk that futures trading is difficult to close positions quickly, timely and conveniently due to poor market liquidity. This kind of risk is particularly prominent when opening and closing positions. As far as opening positions are concerned, liquidity risk refers to the difficulty for traders to enter the market at the ideal time and price. As far as liquidation is concerned, it means that it is difficult for traders to close their positions through hedging. Especially when the futures price shows a continuous unilateral trend, or the delivery month approaches, the market liquidity decreases, which makes traders unable to close their positions in time and suffer losses.