Based on quoted prices of soybean oil,colza oil and palm oil in futures market in Dalian Commodity Exchange and Zhengzhou Commodity Exchange of China,this paper used corresponding analysis,cointegration test and Error Correction Model to find the relationship among oil futures prices.The results showed that listed palm oil futures will enhance the correlation between soybean oil and colza oil,longrun equilibrium relationship exist among the above oil futures,the futures prices of soybean oil and palm oil have the guiding influence on the other two with the huge impact on price fluctuation and soybean oil price has weak impact on prices of the other two types of oil with little influence on price fluctuation.