Using Granger Causal and Cointegration Tests, we analyzed the relationship between the open interests of commercial investors, non-commercial invest institution, retail dealers and the oil price in WTI futures market from 2003 to 2012. Found the short positions of commercial investors are determined by the basis and futures price. And the long positions held by commercial investors are for the need of commercial investors and invest institution to hold short positions. The investment institutions adjust the long positions by the change of the futures price. There are the co-integration relationship between the positions hold by Commercial customers and investment institutions. And the changes of short positions hold by investment institutions are affected by the long positions hold by investment institutions. The long positions holds by the commercial investors are affected by the short positions hold by the commercial investors and investment institutions. These founding can help us to understand the relationship and internal influences mechanism between the open interests and price in futures markets.