Based on the bilateral market characteristics of online peer-to-peer(P2P) lending, this paper proposes a bilateral auction mechanism in order to optimize the operating mode of China's online P2P lending market. In the process, the paper firstly demonstrates the incentive compatibility features of this auction mechanism, and demonstrates the Nash equilibrium of the mechanism. Then, according to the incentive or punishment coefficient of the pricing function in this mechanism, this paper explores the optimal auction strategy of borrowers and lenders, and offers the best pricing under different scenarios. Finally, the example analysis shows that different incentive or punishment coefficients can change the mechanism to the Prosper auction mechanism or PPDai mechanism, and the payment level of the mechanism changes with the incentive or punishment coefficient. Therefore, without affecting the optimality of the mechanism, the incentive or punishment coefficient can be adjusted to improve the borrower's payment cost. According to the urgency of the demand for loans, different borrowers can freely choose the auction mechanism under different scenarios.