In this paper, we observe the futures market liquidity on the impact of volatility by using the order of TAIEX, the Parkinson (1980) volatility to calculate the formulas, with the representative indicator of liquidity which including the Aggressiveness of orders, the Dispersion of orders and transaction costs, using data from the order of TAIEX, the order of market and the reveal order. Furthermore, we study the liquidity on the impact of volatility by dividing the trader into foreign investment, futures dealers, domestic institution and individual. With the empirical results, we found that the individual is the main provider of liquidity, trading more aggressive making more future market’s volatility, foreign investment is the rational trader and it can’t cause the strict price volatility by its trading. Without dividing traders from all markets, the liquidity factor we used have strong relationship with the volatility.