Considering three factors: uninformed traders’expectation to the asset value，uninformed traders’pri-vate valuation，and the volatility of the asset value，the paper models the dynamic price formation in an order-driv-en market with asymmetric information． A closed-form solution is presented to describe the order placement strate-gies of uninformed traders so as to depict the dynamic process how the uninformed traders update their expectation of the asset value． Our results show that the private valuation and the volatility of the asset values affect the unin-formed traders’optimal strategies，leading to market converges to different equilibria． In each equilibrium state， uninformed traders update their strategies according to their expectations of the asset value，resulting in the change of informed traders’strategies． Specifically，there is a possible state in which the informed traders are crowded out of the market． Furthermore，the differences in the execution risk of limit orders in each equilibrium play an impor-tant role in the effects of private valuation，volatility of the asset value，and the ratio of informed traders on market liquidity．