The foreign exchange market micro-theory regards order flow as a bridge that links the micro and macro market and also an important source for foreign exchange market traders to get internal information. It can reflect the attitude of market participants to the short-term exchange rate. This article selects monthly data from February 2004 to June 2017,including the onshore and offshore RMB exchange rate spread, the expected exchange rate depreciation of the RMB, order flow and the RMB deposit in Hong Kong，constructing vector autoregressive model to study how the macro variables via the order flow influence the rate spread. The result shows that macro variables will significantly influence the order flow in the short term and affect the exchange rate spread via the order flow.But the exchange rate spread is less affected by the order flow, and the second-order lag by itself and RMB deposit have the most significant effect.