The invention belongs to the field of information technologies, and particularly discloses a method and a system for measuring scene awareness for financial high-frequency transaction data. The method includes steps of 1, creating a financial high-frequency transaction database; 2, creating a scene association rule base; 3, computing the scene awareness; 4, feeding results and updating rules. The system comprises four corresponding modules. By the aid of the method and the system, influence of scene impact generated by macro-economic environments, natural environments and financial policy events on high-frequency transaction is computed from a scene awareness angle, so that financial high-frequency transaction operational decision reference is provided for a user, and purposes of avoiding risks and effectively gaining profits are achieved. The method and the system have the advantages that dynamic effects which are generated for the financial high-frequency transaction by the macro-economic environments, the natural environments and the financial policy events are comprehensively considered, so that the user can make a judgment on investment advantageously; the system is provided with a feedback mechanism, the scene association rule base can be continuously improved, and accordingly the computed results are accurate.