Oil market products that play a vital role in energy and economy are connected within oil industrial chain with their prices influencing and transmitting each other. This paper overviews their price transmitting relation inside oil market products and between oil market products and other financial markets. In oil market price transmission papers are classified in terms of price transmission method, direction and mechanism. Oil market has a frequent price transmission with other markets due to its importance and universality. This paper classifies the relation between oil market stocks and futures, between oil market and macroscopic economic market, stock market, and bulk commodity market. The existing research is only focused on some certain oil products and hardly deals with complicated non-linear issues with absence of transmitting mechanism. This paper presents paths to oil products price transmission from adopting industrial chain and other methods.