Moscow Exchange, or Moskovskaya Birzha MMVB-RTS PAO (MCX:MOEX), plans to introduce a new algorithmic trading service for the FX market. The launch is scheduled for November 2020.

With this service, trading members and their clients can use a TWAP (Time-weighted Average Price) algorithm which allows buying or selling evenly specified volume during a 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 is no collateral reservation for the algorithmic packet. The 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 the algorithm work time during the trading session.

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

The new algorithmic service will be available via FX market terminal MOEX Trade Currency, version 3.13.10.

Speaking of FX-related enhancements introduced by MOEX, let’s note that earlier this month, the Exchange launched a new transactional interface for MOEX Securities and FX markets.

The new service, called FIFO MFIX Trade, aims to be the fastest transactional interface for MOEX Securities and FX markets, providing First in – First out messages ordering on gateway with probability over 99%. This markedly increases the transparency and predictability of the operations of the tech infrastructure of the Exchange.

The service is available exclusively in MOEX Co-location. Banks, brokers, algo traders and HFT traders can make use of the new service.