Auction, first of many in state capital (5)
I believe the answer is:
salem
'state capital' is the definition.
(Salem is an example)
'auction first of many' is the wordplay.
'auction' becomes 'sale' (I've seen this before).
'first of' indicates taking the first letters.
The initial letter of 'many' is 'm'.
'sale'+'m'='SALEM'
'in' is the link.
(Other definitions for salem that I've seen before include "Location of US witch trials" , "Witch trial site (Mass.)" , "where possessions were claimed?" , "US town famous for its witch trials" , "Witch trial town" .)