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MOEX AlgoPack MCP: market microstructure

moex-algopack-mcp

An MCP server for MOEX AlgoPack: trade flow, order book, futures open interest and ready derived metrics in plain language

  • 1 ★ on the repository
  • Last commit
  • Apache-2.0
MCP server

Extended access

Why this level

  • The server pulls MOEX trades, orders and books with an AlgoPack subscription token
  • Only computes metrics on market data, places no orders
All reasons and checks
Russian stack

notryheart/moex-algopack-mcpAuthor:Yaroslav Antonov

Install

Manual install

git clone https://github.com/notryheart/moex-algopack-mcp.git && cd moex-algopack-mcp && uv sync

Install dependencies via uv.

Access and checks

How we review

Extended accessThe tool runs code or makes network calls and only reads external data.

  • The server pulls MOEX trades, orders and books with an AlgoPack subscription token
  • Only computes metrics on market data, places no orders

This is third-party code. Review the repository files before installing.

What it does

The server gives nine tools for Moscow Exchange market microstructure: trade flow with VWAP and aggressor imbalance, order flow (placed vs. cancelled), the order book with spreads and depth, OHLCV candles (work without an AlgoPack subscription), futures open interest for retail vs. institutional clients, a daily whole-market snapshot for screening, derived-metric calculations like the cancel-to-trade ratio, order flow imbalance and Amihud illiquidity with a formula and source for each, anomaly search by z-score against a security's own 20-day history, and a bilingual machine-readable column glossary. Responses are built for model context: compact tables capped at 50 rows with column-aware auto-aggregation, human-friendly number rounding, and actionable error hints ("weekend → nearest trading day"). Data is cached locally in Parquet, past trading days forever, today's day with a 5-minute TTL.

Who it is for. For traders and analysts with a MOEX AlgoPack subscription who want to explore market microstructure in a dialogue with Claude.

Good fit when

  • You have an AlgoPack subscription and want to ask about order book imbalance or order flow for a security
  • You need to screen the market by a derived metric, e.g. illiquidity or realized volatility
  • You just want OHLCV candles with no subscription for a quick check

Not a fit when

  • You have no AlgoPack subscription and need trades, orders or the order book: without a subscription only candles, the instrument list and the glossary are available
  • You need your brokerage account data and trading operations: the server only reads market data, it cannot trade

Example request

Show SBER's order book imbalance for yesterday and describe how it changed through the day

MCP

Transport
stdio, http
Authentication
key is optional

Environment variables

MOEX_ALGOPACK_TOKEN secret
The recommended auth method, an AlgoPack subscription API key
MOEX_USERNAME
passport.moex.com login, if not using a token
MOEX_PASSWORD secret
passport.moex.com password, if not using a token

Limitations

Most tools (trades, orders, order book, market snapshot) require a paid AlgoPack subscription at data.moex.com. Without a subscription, only candles, realized volatility and Amihud illiquidity (computed from public data) are honestly available. Requires Python 3.12+ and uv, there is no npm equivalent.

How to disable. Remove the moex-algopack server from claude_desktop_config.json or your Claude Code config.

FAQ

Does the server work without an AlgoPack subscription?

Partly: candles, the instrument list, the glossary and metrics computable from public candles are available, everything else honestly declines with a subscription hint.

Does the server republish AlgoPack data itself?

No, per the author's disclaimer it only gives an authorized user programmatic access to their own subscription, and data never leaves the user's machine.

Discussion

No questions or reviews yet.

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README in short

The bilingual README shows a sample dialogue fetching order book imbalance, lists nine tools and three MCP resources, explains the model-context response approach (compact tables, auto-aggregation, actionable errors), describes reliability (retries, rate limiting, Parquet cache, graceful degradation without a subscription), the uv-based install, both authorization methods, and the layered client/domain/server architecture. It ends with an explicit disclaimer that the server does not redistribute AlgoPack data and gives no investment advice.

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