Published on: 2026-06-05
Source: Moscow Exchange –
An important disclaimer is at the bottom of this article.
Remind, that the market of stocks and shares launches the algorithmic trading service Time Weighted Average Price (TWAP), which allows to evenly execute a given volume for buying/selling an asset within a selected time interval.
TWAP orders are available in the “Basic Trading Mode T+” (TQBR) for shares and depositary receipts. Orders can be submitted through the MOEX Trade SE terminal or the gateway interface for service connections.
If the order volume is not fully executed, the algo-module redistributes the remainder to subsequent iterations.
Restrictions:
- Max. package volume – 1 million lots;
- Max. volume of one iteration — 10,000 lots (if exceeded, the package is rejected).
Bids are not placed during auction periods and breaks — the volume is redistributed.
Presentation with features of algorithmic order execution is available at the link:https://www.moex.com/media/zayavka-twap.pdf.
TWAP orders are already available for testing on the dedicated test contour T1 of the stock market (https://www.moex.com/s437). In the industrial contour, the service will be available withJune 22, 2026.
The structure of XML reports on the execution of TWAP orders (SEM02, SEM03, SEM42, SEM102, SEM122) is available at the link:https://www.moex.com/en/documents/943.
Please note; This information is raw content obtained directly from the information source. It represents an accurate report of what the source claims and does not necessarily reflect the position of MIL-OSI or its clients.