This paper considers the pricing problem of Shanghai Copper futures with frictions related to costs of transaction, storage, payments and margin. First we propose the pricing formula for futures asset： the difference of prices generated by these formula with the prices of traditional non-arbitrage pricing method under the no-frictions assumption is that the price here is a range, rather than a point. Then we test the formula with 78 contract data of Shanghai Copper futures from 9601 to 0206. The results show that the frequency for the real prices of Shanghai Copper futures falls on pricing range are 7.83 %. It is also shown that as time passes by, however, the frequencies are becoming more and more high. This indicates that Shanghai Copper futures markets are becoming more and more regulated, and the trading efficiencies of the markets are increasing