Abstract: Trading aggressiveness is the reflection of the willingness of investors to trade, the set of information and the market condition，it directly reflects the attitude of investors. We divided the transaction in the market into twelve groups according to transaction price, the trading volume, the quote price and the declaration volume, and then we compare the trading aggressiveness of stocks with different sizes. Furthermore, we analyze the trading aggressiveness before and after macro news release, extreme price changes, and then we test the relationship between the trading aggressiveness and the return of next period. Based on these studies, we analyze the information content of trade aggressiveness.