In this paper,based on generalized sequential trading models and tick-by-tick trading data,we investigate the liquidity of Chinese futures markets throught the seven main representative contracts.But,due to the exsitence of trade directions and effective prices which can not be observed,it is difficult to find the estimations of interesting parameters accurately.Fortunately,in the framework of Bayesian statistics,we can solve this problem by recent advances in Markov Chain Monte Carlo(MCMC) meth...