Abstract: Liquidity situation has close relationship with effectiveness of price discovery and hedging function in futures markets. Following Thompson-Waller Model, this study quantifies differences in liquidity cost among Chinese agricultural futures using intraday high frequency tick-by-tick data. Results suggest that the liquidity costs are different among futures contracts, mainly depending on trade volume and expiration. The increased volume is associated with lower liquidity costs, however, with different significances. Some results support Samuelson Hypothesis in Chinese agricultural futures market, but the notion of rational range of liquidity, proposed by some researchers, has no clear ineffective constraints on practical liquidity costs.