Abstract: In light of the liquidity measures,this paper discusses the features of Shanghai B-share Market based on the real-time data.It is found that the proportional bid-ask spread is the most effective measure to assess and track the liquidity,and the trading volume,trading frequency and cumulative depth are not able to measure the liquidity effectively;that the liquidity feature of A-share for a listed company is much better than its B-shares';that event related to the securities market can affect the liquidity strongly,and that the feature of volatility is connected with the feature of liquidity in a securities market.