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
Low risk
We rate an entry low when it mostly gives the agent instructions and reference material.
Why this level
- Only reads market data from the user's own subscription, performs no trading operations
- AlgoPack credentials are sent to MOEX servers to authorize requests
Install
Manual install
git clone https://github.com/notryheart/moex-algopack-mcp.git && cd moex-algopack-mcp && uv syncInstall dependencies via uv.
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 dayLimitations
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.
MCP
- Transport
- stdio, http
- Authentication
- API key
| 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 |
Security check
- Only reads market data from the user's own subscription, performs no trading operations
- AlgoPack credentials are sent to MOEX servers to authorize requests
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.
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.
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