Chu Ma was the first to miss Nelly in the Legation. She rushed about as fast as her little feet would allow, calling, 'Ni-li! Ni-li! Ni-li! Ku-niang!' (Ku-niang means 'Miss' or 'girl'). She overturned Arthur Macdonald's top in her flurry, just when he had lashed it up into a beautiful spin. Arthur was cross about the top, but he could not help laughing to see solid Chu Ma in such a fuss. 'She is hopping about like a hen on a rail,' he thought. 'What is the matter?' he asked. 'I can't find Nelly anywhere,' replied Chu Ma. 'Do you know where she is?' 'I don't know,' said Arthur, 'but I should think that she is playing some girl's game with Little Yi and her dolls.' Chu Ma had not thought of Little Yi. She at once tottered off to the girl's house, only to find that Lin Nai-nai, Little Yi's mother, was wondering what had become of her. Lin Nai-nai, seeing that Chu Ma was scarcely able to hobble any farther, offered to go and look for both the children. She, being a Manchu, had unbound feet, and soon inquired about the children at every house in the compound, but she was obliged to return to Chu Ma without them. The two women then went back to Mrs. Grey's house, and there made further search and inquiries. Mrs. Grey was dressing to go to dine at the American Legation with Mr. and Mrs. Bates. Chu Ma knocked at her room door to see if Nelly were there. Of course she was not. Then Chu Ma told Mrs. Grey that Little Yi could not be found either. Just then Mr. Grey arrived and was told too. Remembering that Nelly had come out to meet him the day before, he at once went to question the gatekeeper as to whether the gate had been left open again. The man declared that it had not, that he had never left it a moment, and that only Little Yi had been near it that afternoon. She, he said, he had seen walking towards her own home. This was not true, as we know, for the gatekeeper had left the gate open while he went to buy some rice, and it was then that the children had slipped out. Mr. and Mrs. Grey became quite uneasy, for they knew that the children could not be hiding such a long time, as Arthur Macdonald suggested. Mrs. Grey declared that she could not think of going out to dine until they were found, and Mr. Grey then went himself to each house in the compound. After another hour's fruitless search, Mrs. Grey wrote a note to Mrs. Bates, explaining why she could not come, and asking if by any chance Bob and Bessie knew anything about Nelly. Bob persuaded his mother to allow him to go back with the coolie who had brought the note and help to look for Nelly. When he arrived at the British Legation, he and Arthur Macdonald set to work to look in all the places that they had ever hidden in when playing hide-and-seek together. They insisted also upon going into all the Chinese and students' quarters, and looking into places where it would have been impossible to hide.