Abstract: The OTC(Over The Counter) securities market is an important part of the multi-level capital market in China. The OTC securities market of our country has gone through a tortuous process from embryo to maturity. This paper firstly reviews the development process of the OTC securities market, analyzes the three features in China's system of the OTC securities market: the special of main financing, the corporate of main investors, and poor transparency of information. Then it analyzes further the risk of the OTC securities market, the liquidity risk, moral risk and pricing risk. Finally, it provides the preliminary thoughts of the legal system construction of China's OTC securities market.