Sufficient liquidity is the basic premise of effective operation of the treasury bonds market. In recent years, with the implementation of the pre issuance system of treasury bonds and the treasury bonds futures, there are few literatures studying the testing of liquidity with the new environment background. Firstly, from the theory, this paper defines the concept of the liquidity, analyzes the design strategy for the dimension characteristics and the measurement index, then, on this basis, designs three dimensional indexes and elastic indexes to measure the liquidity of the treasury bonds market in China, and after that, uses the non-parametric method to test the correlation. Through empirical study, we conclude that the liquidity of the treasury bonds market in China is obviously insufficient, and the market maker′s sensitivity to liquidity is not high in the inter-bank market. Finally, based on the results of empirical analysis, this paper puts forward some policy recommendations to improve the liquidity.