Abstract: In the paper, the author presents the concept of the coal price index, declaring that it is a a ratio, not price value. Then it analyzes the significance of constructing the coal price index, and constructs two kinds of coal price index system framework-Coal price index trading system framework and Coal price index studying system framework. At last, the author points the the basic principles that we must follow when constructing the coal price index. That are swap time principle, swap factor principle, loop detection principle and representation principle.