The invention relates to a filter for removing oligomers from a liquid material and a filtering method. The filter disclosed by the invention comprises a cylinder body, and a top cover, a feed pipe, a discharge pipe and a slag discharge pipe which are arranged on the cylinder body; the filter further comprises a filter frame and a plurality of heat exchangers; the filter frame is arranged in the cylinder body; a filter screen is arranged outside the filter frame; the heat exchangers are arranged in the filter frame and allow a cold material or hot material to be alternatively fed; the cold material can change the physical form of a material to be filtered, so that oligomers in the material to be filtered can be filtered out; the hot material can melt the oligomers, so that the molten oligomers can be discharged through the slag discharge pipe.