FX market new service of Algirithmic trading

In November 2020 the new Algorithmic trading service of the FX market will be released.

With this service Trading members and their clients can use TWAP (Time-weighted Average Price) algorithm, that allows to buy or sell evenly the specified volume during the specified time interval.

The Algorithmic Service is implemented to form a packet of linked orders that are entered into the Trading System at the due time. There are no collateral reservation for algorithmic packet. Required amount of collateral is calculated as usual, when each linked order enters the Trading and Clearing system.

Users can enter algorithmic orders during the Main trading session (from 10:00 to 23:50) on CETS (System deals) and SDBP (Large Volume Trades) boards.

Users set algorithm work time during the trading session.

There are different ways for user to set time-weighted orders: specify number of linked orders or specify time interval between orders.

Depending on the parameters selected by the user, the algorithm calculates either time intervals based on the number of linked orders, or the volume of each order based on fixed time intervals.

Algorithmic service will be available with FX market terminal MOEX Trade Currency, version 3.13.10.

You may find MOEX Trade Currency packages for testing on FTP server (ftp://ftp.moex.com/pub/Terminals/ASTS/Currency/Test).

Users will be prompted to autoupdate when connecting to the trading system. Packages for manual installation will be available starting from 20 November from FTP server: ftp://ftp.moex.com/pub/Terminals/ASTS/Currency/

Production connection settings for different configurations are listed below:

MOEX Trade Currency terminal(direct connection)
Broadcasts: 10.63.1.255,10.63.3.255,10.61.1.255,10.61.3.255
Server: ALGO_GATEWAY
Service: 8217/8218

Connection over the Internet
Host: trade.moex.com:15000
Server identifier: ALGO

Connection for users of the Hosted Bridge service
Host: bridge.moex.com:15000
Server identifier: ALGO

Planned changes in reports:
CUX22, CUX23, CUX24, CUX33, CUX34 reports will be supplemented with the non-required AlgoOrderNo (ID of Algorithmic packet) field.
Specifications of reports are available on the MOEX website.
You may find XSD schemas, XSLT styles and examples at FTP server ftp://ftp.moex.com/pub/Reports/Currency/