Improvements in QORT products made in August, 2021
General improvements in QORT platform
- During import of operations from the OMS Manager module, it is possible to automatically write off commissions on the trade’s settlement date and not to make records of commissions for zero volume trades.
- For separate assets or whole types, classes, and kinds of assets, it is possible to block the upload of data via the Module of integration with RU DATA.
- After reconciliation with exchange reports (SEM03, EQM06, CUX23, f04, o04, SPB03, MFB06), it is possible to adjust a status of the trade confirmation made by the broker depending on whether the trade is available in the report.
- Now, QORT products support a new type of OTC trades – Cross currency interest swap. Data on such trades can be uploaded to QORT via the intermediate database (IDB).
Assets and Instruments:
- The system acquired an option to automatically check instruments’ relevance by making reconciliation of data from a directory with the data delivered from QUIK or external systems via the IDB or the Web-services integration module. The reconciliation is made by the instrument code and ISIN simultaneously. If a new instrument started being traded with the same asset registration code or ISIN (for example, as a result of splitting or conversion), the system will automatically create an instrument with such a code in the asset directory and, for the old instrument, will register termination of trading dated the current day. Positions in QUIK will be uploaded only for relevant instruments.
Automated back-office backQORT
- During export of assets to the Broker quotation system, backQORT uploads data on calculation bases of ACT/ACT (ISMA), ACT/366, ACT/364, ISDA 30E/360 (German 30/360), ISDA 30/360, EURO 30+/360 to calculate an accrued coupon interest (ACI). Besides that, it has become possible to transmit additional parameters: class and kind of assets.
- The system is able to export the ‘Instruments without currency risk’ setting from the limit calculation library (LCL) of QUIK. For the assets listed in this setting (with the help of the asset’s instrument code or asset evaluation class code), a currency risk is not taken into account when calculating margin parameters if the asset price differs from the base currency.
- backQORT has an extended functionality for reconciliation with data from IDB which allows reconciling trades, settlement stages, redemptions, corrections, and positions.
- During execution of a non-trade instruction, backQORT allows automatic change of the instruction status for ‘Denied’ if the instruction volume exceeds a preset value.
- If the broker changed a format of print instruction forms, backQORT will generate them according to the template relevant on the instruction registration date.
- The system generates OKUD 0420415 and OKUD 0420418 report forms and for the XBRL taxonomy 4.2.
- It has become possible to display information on planned calculations for operations and planned outgoing cash balances in the Register of internal accounting of cash and calculations for trades and operations with securities and in the Subregister of internal accounting of calculations for margin trades and operations.
- ‘Incomes of portfolio’ and ‘Incomes of portfolio by dates’ reports now display information on options. To use the report in backQORT, the ‘Management Reporting Module’ is required.
- Global instructions were added to the mechanism of manual matching of instructions (for sub-/analytical accounts). For such instructions, it is not checked whether the instruction’s volume corresponds with its price; and the current trading day is specified in the ‘Date’ field by default. The final table displays trade orders linked to trades and registered on the trade’s date at the latest.
- There is a new ‘Monitoring of instruction accounting’ report which allows checking instructions and trades for correct matching. When activating the check in the modes ‘Instructions in non-terminal status’ and 'Status of executed continuing algo instructions’, the status is automatically edited in found instructions if the trades for such instructions have already been executed.
- For trades of the ‘Cross currency interest swap’ type, it is possible to perform settlements with a floating rate. Rates can be uploaded via the terminal or IDB. After the trading day is changed for the payment date, ‘Money transfer’ stages are automatically generated for each added payment on the basis of the calculated amount.
- There is a setting which allows uploading trades executed on the Saint-Petersburg Exchange after 00:00 on the trading day which coincides with the trade’s calendar registration date but not the trading date.
- There is a new ‘In the process of terminating’ status for clients’ subaccounts.
Middle-office of an asset management company capQORT
- The portfolio organizer allows setting display of the number of decimal figures for the size of the position in securities in the ‘Fund parameters’ table and parameters of the ‘Fund’s summary data’ table.
- Reconciliation of incoming balances with data from QUIK for different execution brokers now can be timed, with separately set synchronization of data from QUIK for each broker. This will allow avoiding additional corrections in the system if brokers need different time to upload limits to QUIK servers.
- It has become possible to forward a pool order and specify its volume without price. This will allow forwarding orders via capQORT during primary placement of assets and putting non-competitive orders up for auction without prices.
- When rebalancing portfolios, it has become possible to change prices for several assets at once. To do this, it is necessary to specify a percentage in the ‘Rebalancing prices’ dialogue window by which the price of chosen assets is to be increased or decreased.
OTC REPO trades:
- When creating an OTC REPO trade after execution of the pool order, fields of maximum/minimum discounts and of a margining level type are filled in automatically.
- If settlements for OTC REPO are to be on a weekly rest day or holiday, the settlement date in the pool order dialogue is highlighted in red.
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