The paper establishes a competitive trading model based on heterogeneous attentions, referring to the analytical framework of Kyle model in 1985. The model considers that there are three types of risk neutral traders in the financial market with only one risk asset: two attentive traders with different attentions, liquidity trader and market maker. According to the different levels of attention, three scenarios were mainly considered: homogeneous attention, one limited attention while the other completely neglected, and one complete attention while the other limited attention. The mechanism of the impact of attention on trading behavior and returns in heterogeneous attention scenarios was revealed. By solving the linear equilibrium solutions under the three scenarios, it is found that in all three scenarios, the expected returns of limited attentive trader increase with attention. The expected returns of completely negligent trader have an inverted U-shaped relationship with attention, while the expected returns of fully attentive trader decrease with increasing attention. In the case of the first and second scenarios, the impact of attention on the trading intensity of limited trader is related to the noise in the signal. In the third scenario, the attention of limited trader reduces the trading intensity of attentive trader, while it has an inverted U-shaped relationship with his own trading intensity.