  We introduce a new matching design for financial transactions in an
electronic market. In this mechanism, called ad-hoc electronic auction design
(AHEAD), market participants can trade between themselves at a fixed price and
trigger an auction when they are no longer satisfied with this fixed price. In
this context, we prove that a Nash equilibrium is obtained between market
participants. Furthermore, we are able to assess quantitatively the relevance
of ad-hoc auctions and to compare them with periodic auctions and continuous
limit order books. We show that from the investors' viewpoint, the
microstructure of the asset is usually significantly improved when using AHEAD.
