This paper examines price and liquidity dynamics in short-term European and Canadian government securities markets. The information content of trades, relative limit orders depth and spreads are examined. Order flow and relative order book imbalances are comparatively informative for European securities listed on the dominant electronic interdealer trading platform in Europe. In Canada, spreads are highly informative. In general, information is usually fully incorporated into prices over a couple of hours. Lastly, we find that prices do not adjust instantaneously to their fundamental value in response to macro news innovations. Rather, there is an induced effect through trades, orders and spreads.