A method and system for determining an optimal price at which to perform a batch auction of financial assets. Orders, according to a variety of predetermined order types, are received from qualified market participants and communicated to an auction system according to the invention. The auction system takes into account each order and its impact upon relative supply and demand to determine by a preset algorithm an optimal price and share transaction quantity. The optimal price is selected by identifying a particular price at which trade volume would be maximized and which reflects the appropriate effect of supply and demand imbalances. Trades are executed at the optimal price, and portions of the transaction quantity are allocated to each investor on a fair basis dependent upon their submitted orders. In another aspect, the auction system includes a computer system and network designed to automatically perform one or more steps of the above method. Such a system is preferably connected to one or more ECNs such that non-executed shares can be automatically sent to outside sources for execution, and connected to real time quote services to obtain current market information.