There were HEI (OFZ) rounds for the higher-powered NS-37 (37×198) cannon, plus the lower powered N-37 (37x155) cannon. There were also some O (fragmentation) rounds for early Russian tank and anti-tank guns.
The basic designation for the NS-37 round seems to be MG-8 (МГ-8) fuzed OZ-37-NS (ОФ-37-НС), its index code unknown to me. Also seen is the OFZ-37-NS (ОФЗ-37-НС), index code unknown to me.
The N-37 round details are the B-37 (Б-37) fuzed OFZ-37 (ОФЗ-37), its index code 9-A-049 (9-А-049), and the MG-8 fuzed OZ-37-N (ОФ-37-Н), its index code unknown to me.
This sectional diagram cropped up when searching, presumable from the publication 'Soviet Cannon - A Comprehensive Study of Soviet Guns and Ammunition in Calibres 12.7mm to 57mm', or something similar.