The technique to measure directly the shock wave velocity in the transparent material for the ultra-high pressure is introduced. The optical lane and the basic rule for this technique is provided, and the time sequence of preheat effect and shock wave is analyzed. From the experiment data, it is found that the beginning point of preheat effect caused by X-ray is consistent with the laser pulse, and the preheat effect is the worst when the intensity of laser pulse is highest. The shock wave is later than the preheat effect. The reflection signal increases when the shock wave reaches the planar-window material. This increasing for reflection signal can be regarded as the beginning point of shock wave. The experiment data shows that the stripe loss is caused by the preheat effect. The preheat effect appear as soon as the flat of laser pulse transfers into the target cavity, and it decrease too low to disturb the detecting of shock wave after 400ps at the end of flat of laser pulse. The decreasing curve in the sapphire is confirmed by the comparison of experiment data and theoretical analysis. The formula to calculate the shock wave velocity is provided, and it is conformed by the experiment data.