This paper investigates e-retailers' price setting and customers' purchasing behaviors using a unique dataset collected by a Japanese price comparison site, which contains tick-by-tick prices quoted by each e-retailer as well as clicks made by each customer, both with second timestamp. First, we find that the probability of being clicked decreases with the price ranking of an e-retailer, but it never goes all the way to zero even for e-retailers with low rankings. Specifically, we find that there exists a linear relationship between the log of the click probability for an e-retailer and its price ranking, suggesting that each customer chooses a set of e-retailers based on non-price characteristics of e-retailers, and then looks for one with the lowest price among them. Second, we find that the average of prices quoted by e-retailers basically follows a random walk with drift, which is a simple reflection of the random walk property of the product inventory held by e-retailers. However, we also find that the average price sometimes deviates from a random walk, e.g. when each e-retailer starts to cut its price in response to price reductions made by others.