Moscow Exchange expands analytics offering for algorithmic and HFT firms

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From 13 November 2018, Moscow Exchange (MOEX) has announced that it is expanding its offering of analytics products for funds, algorithmic and high frequency traders. The products leverage MOEX’s market data and have been designed to help investors make existing trading strategies more efficient and create new ones.

Two new analytical tools are available to market participants, with further rollouts expected in future.

  • Aggregate Net Volume 2 covers end-of-day aggregate net trading volumes for the 30, 70 and 100 most active clients. It is calculated based on the ten liquid shares traded on MOEX, and is aimed primarily at algorithmic traders.
  • TimeStamps provides an analysis of the latency of HFT firms’ proprietary orders at different segments of the Exchange’s infrastructure in comparison to other orders.

MOEX also offers Aggregate Net Volume 1, which includes end-of-day net trading volumes for groups of clients determined by number of trades and average trading volume. The product covers shares of Sberbank and Gazprom, the USD/RUB currency pair, and RTS Index and USD/RUB FX futures.

Free demonstration materials with data analysis samples, as well as free historical data for 2014-17, have been added to MOEX’s website so members can easily discover the new products.

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Moscow Exchange expands analytics offering for algorithmic and HFT firms


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