a method and system for performing a batch auction whereby a series of orders , according to a variety of predetermined order types , are generated by qualified market participants and communicated to an auction system . the auction system takes into account each order and its impact upon relative supply and demand to determine by a preset algorithm a price and share transaction quantity . trades are executed at the price , and a portion of the transaction quantity is allocated to each investor on a fair basis dependent upon their initial orders . in embodiments of the present invention , the auction system uses a computer system or 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 . in alternative embodiments , the invention includes the use of a one or more intermediaries or market makers to cover certain unexecuted trades at the determined price . the present invention is preferably used to conduct batch auctions at the opening and closing of securities trading markets .