This paper investigates the limit order book of GlaxoSmithKline on the London Stock Exchange across multiple time scales, from monthly to tick-by-tick. The authors show that the qualitative behavior of prices and order book dynamics changes dramatically with the time horizon. On monthly scales, price changes resemble ordinary diffusion with negligible microstructure effects. On daily scales, returns are fat-tailed and volatility is clustered, while the order book exhibits large day-to-day fluctuations in shape and volume imbalance. The average order book shape is not typical; individual snapshots reveal a narrow central region near the spread, a regular striped pattern of orders every 5 ticks, and large orders at round numbers. The imbalance between buy and sell limit order volumes varies strongly but does not directly predict returns. At the intraday and tick-by-tick level, price formation is governed by the impact of individual market orders, limit order placements, and cancellations. Liquidity crises, where a large portion of the book is wiped out, lead to abrupt spread widening followed by slow relaxation (half-life of 10^2-10^3 seconds). The study highlights that microstructure effects are crucial for short-term dynamics but average out at longer horizons, and that current models cannot fully capture the rich structure of very short-term returns.