China is a traditional sense of "rich in coal, short of oil and gas" country. These three energies occupy a high position in China's energy consumption structure. With the increasing proportion of natural gas in the world energy consumption structure, more and more attention has been paid to the use of natural gas. The mutual substitution and influence of the three factors are of great significance to the safety situation, price regulation and policy making of natural gas in China, and therefore need to be further studied. On the basis of fully exploring the current situation of natural gas resources in China and the prices of the three, this paper uses Python data mining and econometrics to explore the causal relationship among the three. After the empirical study, this paper puts forward some suggestions for China's gas price reform mode, including improving the pricing mechanism, building a unified natural gas pricing market and establishing a "coal+gas" gas price mechanism in accordance with China's national conditions.