Abstract: In this paper,the status of location of commodity exchange markets nowadays was analyzed firstly as an explanation why location of commodity exchange markets should be valued. Then,a bi-level programming model is presented to seek the optimal location for commodity exchange markets by considering benefits of customers and planning departments of commodity exchange markets. The upper level problem is to maximize the gross benefit from the terms of decision makers by taking account of the relationships of the total cost for building commodity exchange markets and user demand. The lower level problem describes the users' choice behavior. Finally,aiming at the model,a heuristic algorithm is designed,the feasibility of the model and algorithm is also verified by taking Dangshan as an example.

Key words: commodity exchange market, location, bi-level programming, heuristic algorithm