Based on 1 minute high-frequency data，this paper analyzed intraday effect of CSI300 index futures for the first time and found“LM”pattern of absolute yields，“WV”pattern of volume，“inverted U”pattern of position，“LM”pattern of basis between highest and lowest price within 1 minute，and“high in the morning，low in the afternoon”pattern of mispricing ratio．Then，dynamic correlation of these five indicators was analyzed by vector auto regression model of variance decomposition and impulse response function．In addition， we designed arbitrage strategy based on mispricing ratio’s intraday effect，and intrasample and outsample result shows the intraday arbitrage strategy is effective．Finally，we made investment recommendations based on result．