German Gorbuntsov was reportedly sprayed with machine gun fire as he entered his exclusive block of flats in the Canary Wharf financial district of London.
Tonight he lies in a coma under armed guard at an undisclosed location. He was hit in the back seven times on Tuesday.
Metropolitan police have said they are treating the case as an attempted murder and that an investigation has been launched by the force's Trident command - the unit that deals with gang-related crime. They said they do not believe a London-based gang is behind the crime.
Police would not confirm Russian reports that the attacker had used a sub-machine gun, although officers told residents that the gunman had used a silencer.
ITV News Crime Correspondent Jon Clements reports:
Residents from the same block described the scene of the crime as a "bloodbath" although stressed that it had been cleaned up very quickly.
Police said the suspect, who they described as white, 6ft and slim and wearing dark clothes, was seen running away from Westferry Road after Mr Gorbuntsov was shot.
The Russian newspaper Kommersant wrote today that the shooting may be related to Mr Gorbuntsov's involvement in the investigation into a separate assassination attempt on another banker, Alexander Antonov, in Moscow.
The newspaper quoted Mr Gorbuntsov's lawyer who said that his client had told him on "several occasions" that he would be killed if he returned to Russia.
Scotland Yard said it was "too early to speculate" on these reports.
The apparent attempted assassination will prompt comparisons with the murder of Russian dissident Alexander Litvinenko in London in November 2006.
British prosecutors have named fellow ex-KGB agent Andrei Lugovoy as the main suspect in his poisoning with radioactive polonium-210, but the Russian authorities have repeatedly refused to send him to face trial in the UK.