AN MD80 OVERSHOOTS THE LOC DURING A VECTORED LDA APCH TO RWY 30L AT STL. ATC WAS LATE ON THE TURN AND DURING THE REINTERCEPT THE ACFT DSNDED 300 FT BELOW THE ASSIGNED ALT WHEN THE ALT CAPTURE FAILED TO FUNCTION. AN NMAC OCCURRED WITH XING TFC 700 FT BELOW DESTINED FOR RWY 30R.

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APCHING ST LOUIS FROM THE S BEING VECTORED FOR LDA RWY 30L. ANOTHER ACFT FROM THE W WAS BEING VECTORED FOR ILS RWY 30R. OUR APCHS HAD INTERSECTING PATHS AND THE SECOND ACFT PASSED UNDERNEATH US AS WE WERE GIVEN A WESTERLY INTERCEPT VECTOR. WE WERE IN A DSNDING TURN ON AUTOPLT. THE FLT MODE ANNUNCIATOR INDICATED ALT CAPTURE BUT DID NOT LEVEL OFF AT 5500 FT. AT 5300 FT I DISCONNECTED THE AUTOPLT AND PITCHED UP TO INITIATE A CLB TO RETURN TO ALT. THE ACFT MAY HAVE DIPPED TO 5200 FT IN THE RECOVERY. THE AUTOTHROTTLES ADVANCED TO GAR EPR IN THE CLB TO 5500 FT. PAX RPTED TO THE FAA A NEAR MISS. THE UNUSUAL VECTORING INITIATED THE SEQUENCE. THE FALSE FLT MODE ANNUNCIATOR INDICATION OF A LEVELOFF CONTRIBUTED. THE AGGRESSIVE RESPONSE OF THE AUTOTHROTTLES CONTRIBUTED TO PAX FEARS. A MORE STABILIZED APCH WITH FEWER VECTORS AND PROPER SEQUENCING MIGHT HAVE PREVENTED THE ENTIRE SEQUENCE. SUPPLEMENTAL INFO FROM ACN 428436: BEING VECTORED FOR AN LDA APCH TO RWY 30L STL AND DSNDING TO 5500 FT; THE CTLR FLEW US THROUGH THE LDA. WHILE THE LDA WAS 'COMING ALIVE' WE WERE GIVEN A NEW INTERCEPT AND CLRED FOR APCH. IT WAS WHILE THIS WAS GOING ON WE GOT A TA. THE AUTOPLT DID NOT CAPTURE THE ALT (5500 FT) AND WE GOT A WINDSHEAR FAIL LIGHT. THE CAPT ARRESTED THE ALT AT 5300 FT BY CLICKING THE AUTOPLT OFF AND 'GAR' THRUST BACK TO 5500 FT. ATC REITERATED 5500 FT; WE ACKNOWLEDGED; FLEW THE APCH; AND LANDED. WE SHOULD NOT HAVE CONTINUED THE APCH ON THE LAST VECTOR; TOO MUCH STARTED TO HAPPEN THAT WAS DIVERTING OUR ATTN. WE KICKED OURSELVES FOR ALLOWING IT TO DETERIORATE TO THE POINT IT DID.