Abstract: Based on the order-driven continuous security market,information structure and differences of opinion,the sequential trading model that researches the formation process of asset price and influences of each factor of information structure on price formation is presented. The conclusion is that the quote spread is impacted on the existence,dissemination and composition of information,which depends on them selves,composition of investors,differences of investors option and the value of information. Then, based on China stock market,the influence of the dissemination and composition of information on quote spread is found,which supports model.

Key words: information structure, asset price formation, differences of option, order-driven market, Sequential trading