QORT digest for the first quarter of 2020

28 april 2020

Q1, 2020

Dear users of ARQA Technologies software products, we offer to your attention the digest of the main features introduced in solutions based on the QORT software platform in the first quarter of 2020.

Events

The 16th annual seminar of ARQA Technologies took place in Moscow. More than 350 participants from 105 companies – clients and partners – attended the seminar. It was dedicated to the twentieth anniversary of the company.

As part of the seminar, a report was made by Alexey Baburin, the head of the QORT development department, which was focused on the most significant changes in QORT products in 2019 and development plans for 2020. See the report presentation on the company’s website.


New QORT Modules

Specialized agent’s workstation backQORT

For conclusion of broker service agreements on behalf of the broker, a specialized backQORT terminal was designed for installation out of the company’s or bank’s office. With the help of the Specialized agent’s workstation, a user can input to backQORT the data required for conclusion of a broker service agreement. The information about clients registered via other accounts, financial indicators, the clients’ assets, etc. is not available in this workstation.

Module of integration with API NSD

For QORT products, integration was implemented with a new NSD’s service – API NSD. The Module of integration with API NSD allows automatic import of reference data on issuers, securities serviced and no longer serviced in NSD, and data on related corporate events of the NSD database by using API NSD web-services. The module can be used together with midQORT, backQORT, and capQORT products.


Middle-office midQORT and back-office backQORT — Solutions for Banks and Investment Companies

Great attention was paid to technical aspects of the QORT platform: there are notifications of a break in connection with the SQL Server, an increased number of reconnections for server components after a fault, etc.

A large proportion of changes made in backQORT relates to accounting of client instructions. A separate block of innovations is focused on improvements for accounting in foreign jurisdictions.

The most important improvements in midQORT and backQORT software in the 1st quarter of 2020 are as follows:

Client Instructions Accounting

New Functionality

Solution

The ‘Trade’ card acquired a block displaying information about client instructions or other documents used for trade execution.

backQORT

The tables ‘Trade instructions’, ‘Client instruction register’, and ‘Exchange orders’ now have the ‘Instruction status’ parameter which can be ‘Active’, ‘Executed’, ‘Partially executed’, ‘Denied’, ‘Cancelled’, and ‘Not executed’.

backQORT

New types of instructions were added: ‘Application for trade instruction cancellation’, ‘Application for trade instruction partial cancellation’, ‘Application for non-trade instructions cancellation’. Necessary parameters are supported for such instructions.

backQORT

There are new types of trade orders: ‘Participation in offer/offering’, ‘Global instruction’*, and ‘Continuing instruction’**. When saving a new continuing instruction it is suggested to generate a unique code for identification of the backQORT continuing instruction.

* is forwarded once and valid for the duration of the agreement, for example, an instruction for forced position closure when there is no enough cash,

** for example, an instruction to buy a particular volume at a particular price during a specified period of time.

backQORT

For trade orders, the ‘Trader’ field in the instruction register is automatically filled in based on data from QUIK.

backQORT

To log reasons for rejection of client instructions, there is a new directory – ‘Reasons for refusal to execute client instruction’.

backQORT

It has become possible to perform advanced reconciliation with the QUIK transactions file. The reconciliation results in adjusting parameters of exchange orders that are client instructions. Besides that, records are made in the trade order table based on transactions for rejected instructions, executed instructions to cancel, as well as for forwarded, cancelled or rejected stop orders (including voice orders). Trade orders are not generated for technical transactions.

backQORT

During reconciliation with the file of QUIK transactions, the status of some non-trade instructions is corrected and new records are made in the non-trade instructions table, based on data on rejected instructions and executed instructions to cancel (including voice orders). The functionality is available if the Non-Trade Instructions module is used.

backQORT

The reconciliation with the QUIK transactions file results in adjustment of continuing instructions.

backQORT

Design and content of cards for trade and non-trade instructions were changed.

backQORT

An option was added to link client trades and instructions on which basis they were executed including instructions for stop orders, continuing algorithmic instructions, and global instructions to roll over long and short positions.

backQORT

Operation Accounting in Foreign Jurisdictions

New Functionality

Solution

The English version of the QORT terminal supports classification of assets in accordance with requirements of international regulators. Previously, QORT products supported only classification of assets in accordance with the Bank of Russia requirements.

backQORT

System Administration

New Functionality

Solution

The task fulfillment statistics is added to a message sent to the QORT administrator by email after scheduled generation of client reports.

The message contains information about the number of reports generated, saved, and sent to clients in each format.

backQORT

The messages to be sent by email now can be signed with the broker’s digital signature.

backQORT, midQORT

There is a directory of tasks with scheduled activation. For fulfilled tasks, it displays names of the tasks, performance result, description of the execution process, the last activation, the last successful activation, the next activation, a group or user that set the task.

backQORT, midQORT

In case of errors, when connecting any server component to the server, reconnection attempts are made automatically.

backQORT, midQORT

After loss and restoring the connection between the QORT server and the SQL Server, messages are sent to predefined email addresses. Besides that, the QORT server makes unlimited number of connection attempts in case of lost connection with the SQL Server (previously, there were only three attempts).

backQORT, midQORT

It has become possible to store a history of tasks activated over the whole period of the system use.

backQORT, midQORT

SWIFT Messages

New Functionality

Solution

Incoming messages of the МТ 599 type are now displayed in the general table of SWIFT messages and can be viewed in the terminal.

backQORT

Automation and Group Operations

New Functionality

Solution

For non-package REPO trades, it is possible to automatically calculate the trade price based on the market price information. To do this, it is necessary to choose a price information source which will be used for trade volume determination. The price can be specified manually as well.

backQORT, midQORT

There is a possibility to make group changes in dates of a primary document and dates of receipt of originals for redemption, for settlement stages, and non-trade instructions. Besides that, for a group of operations, it is possible to specify a date relative to the registration, execution date or the date of the primary document (for example, of a clearing report).

backQORT

It has become possible to automatically specify, by preset user’s rules, a kind, type, and method of calculations in the trade depending on a section of the trading venue. This operation can be executed on schedule.

backQORT

Aggregates

New Functionality

Solution

There is an option to view all aggregates of a chosen trade.

backQORT

The ‘Aggregates’ table acquired an option to filter aggregates by ID.

backQORT

Integrations

New Functionality

Solution

The Web-services integration module is now available for the middle-office midQORT.

midQORT

Data on assets and depository receipts can be downloaded from the Cbonds database (if the Module of integration with Cbonds Database is a part of the configuration).

backQORT

It is possible to filter trades and orders downloaded from QUIK by codes of trading-clearing accounts.

backQORT, midQORT

Settings of the QUIK limit calculation library can be generated automatically. This allows banning trade transactions for a list of instruments based on the ‘Included in the sanctions list’ feature `specified in QORT for clients that have tariff plans with the ‘Prohibit trade transactions with sanctioned assets in QUIK’ feature. This functionality can be used to prohibit trading with some instruments upon the broker’s choice.

backQORT

When downloading market data from QUIK, it has become possible to specify trading venue sections which will not be involved in downloading such data. This functionality can be used to separate data flows from different execution brokers.

backQORT, midQORT

Commissions

New Functionality

Solution

The commission now can be written off from any trade party (commission reverse). The functionality is available for online commission calculation. The system is able to calculate the trade price net with account of the trade’s direction, amount and sign of accrued commissions and spreads. Besides displaying in the dialogue and the trade table, the net price and volume can be transmitted to various documents and reports (for example, trade confirmation or SWIFT messages for the trade). This approach is required for more accurate reports and calculations for trades in foreign jurisdictions.

backQORT, midQORT

It is possible to accrue a commission in case of a total negative position by cash and securities.

backQORT

It is possible to set commission templates not only for a whole agreement but also for particular client subaccounts of one agreement.

backQORT

Non-trade Operations

New Functionality

Solution

When withdrawing cash in the currency different from the Russian ruble via the Non-Trade Instructions module QUIK, the system can automatically calculate PIT for withdrawal in rubles and export these data as a comment to QUIK (if the Non-Trade Instructions module QUIK is a part of the configuration).

backQORT

If a commission is to be charged during the cash withdrawal, and the withdrawal order is forwarded via the Non-Trade Instructions module QUIK, two linked corrections are made in QORT: an operation to withdraw cash and accrue the withdrawal commission. When executing one of them, the second operation is executed automatically.

backQORT

When generating a message about a suspicious non-trade operation, it is now possible to manually specify parameters of the primary document for operation execution, and a comment. The information about suspicious operations can be sent as a report to supervisory authorities by email with all necessary parameters of the operation. 

backQORT

Reports

New Functionality

Solution

To scale the system, several server components can be deployed for report generation with every component responsible for reports of a particular type (for example, one component – for generation of client reports, another – for PIT).

Requests for generation of various reports can be processed simultaneously. For example, it is possible to simultaneously start generating client reports and performing PIT calculation.

backQORT

An option was added to generate OKUD report forms 0420415, 0420416, 0420427 in accordance with the XBRL taxonomy of version 3.2. 

The reports are created in the *.xlsx file which may be uploaded to the Bank of Russia’s XBRL report editor (version 1.573 or better) as the ‘Presentation/definition’.

Additionally, .txt files are generated with descriptions of closed axes that should be uploaded to the XBRL report editor first.

backQORT

The ‘Report on the obligations for the period’ can display all liabilities opened on the report generation date regardless of planned settlement dates. Previously, the report displayed only liabilities with a settlement date included in the requested period.

backQORT, midQORT

Trades

New Functionality

Solution

For REPO trades with open dates, it is possible to explicitly specify changes of the REPO rate during the trade’s validity period and display this information in SFTR reports. To do this, the dates of changes and REPO rates should be specified.

backQORT

A new trade type – ‘Margin loan’ – was added. These trades can be used for margin lending to clients and are necessary to correctly forward SFT reports to European regulators.

backQORT, midQORT

Improved System Usability

New Functionality

Solution

To facilitate the work of users when choosing a subaccount in a filter, in addition to the subaccount number, the «/» sign allows displaying some additional parameters (for example, company-broker, account type, comment, account category) which can simplify the subaccount’s visual identification.

backQORT, midQORT

For some subaccounts of one owner, combined into one analytical account, long positions can be rolled over with account of balances by currency accounts. The rolling over is performed with REPO trades by subaccounts on securities sections within one analytical account.

backQORT, midQORT

The changing history of the ‘Trading venue sections’ directory can be viewed in the backQORT terminal.

backQORT

The total amount of the client’s funds available for the broker’s use, in case of the client’s consent, is calculated taking into account debts to the broker by all sections of the client’s trading venues.

backQORT

The functionality to link tables is now available in ‘Sub-accounts and analytic accounts’ and 'Trades’ tables. In case of linkage, only trades for the chosen subaccount/analytical account from the ‘Sub-accounts and analytic accounts’ table will be displayed in the 'Trades’ table.

backQORT

When necessary, data on the business partner can be restored based on the ‘Changing history of business partner’ table.

backQORT

For currency REPO trades, a parameter was added to display the trade’s currency.

backQORT


Middle-office capQORT — Solution for Asset Management Companies

The main improvements in the capQORT system in the 1st quarter of 2020:

System Administration

New Functionality

The messages sent by email now can be signed with the broker’s digital signature.

There is a directory of tasks with scheduled activation. For fulfilled tasks, it displays names of the tasks, performance result, description of the execution process, the last activation, the last successful activation, the next activation, a group or user that set the task.

In case of errors when connecting any server component to the server, reconnection attempts are made automatically.

After loss and restoring the connection between the QORT server and the SQL Server, messages are sent to predefined email addresses. Besides that, the QORT server makes unlimited number of connection attempts in case of lost connection with the SQL Server (previously, there were only three attempts).

It has become possible to store an activation history of tasks over the whole period of the system use.

Portfolio Rebalancing Mechanism

New Functionality

When using the portfolio rebalancing mechanism, it is possible to activate checking for unexecuted orders. If unexecuted orders are detected for portfolios, which are to be rebalanced, the rebalancing will not be performed.

If capQORT blocked the portfolio rebalancing, information about the subaccount, ID of the order that provokes the blocking, and its status can be viewed in the window of the blocking notification.

Limit Setting and Control

New Functionality

To control restrictions for the asset share relative to outflow of funds to the system, the ‘Average monthly inflow/outflow of funds’ parameter was added. This parameter can be used when controlling limits of the ‘On portfolio structure’ type.

When selecting instruments available for execution of trade operations, it has become possible to take into account underwriters’ ratings if the system lacks the information regarding ratings of asset and issuers. There is support for importing data on underwriters’ ratings from the ‘Reference United Data’ database of financial instruments and issuers with the help of the Module of integration with RU DATA.

If there is no information on prices of assets (included in the order or in the client portfolio) required to control restrictions when forwarding a pool order, a message will be displayed with a list of such assets.

It is possible to forward test orders. Such orders do not change the position but are taken into account in pre-trade restriction control of the user forwarded the test order. This allows testing orders for restriction violations in a 'live' environment.

The system allows controlling restrictions with account of planned liabilities to sell securities in the second parts of REPO trades. The control of such restrictions can be set for assets, asset groups, and a whole portfolio. Not only planned and actual positions can be monitored, but also a position for each intermediate settlement date.

Integrations

New Functionality

When updating information from Bloomberg Data License, the asset search is performed by a unique Bloomberg ID. In this case, if the asset’s ISIN was changed, data on this asset will be updated correctly. The functionality is available if the Bloomberg VCON drop copy QORT program interface is a part of the configuration.

To calculate ACI, additional parameters are downloaded from the Bloomberg database (if the Bloomberg VCON drop copy QORT program interface is a part of the configuration).

Trades and orders downloaded from QUIK now can be filtered by codes of trade-clearing accounts.

When downloading market data from QUIK, it has become possible to specify trading venue sections which will not be involved in downloading such data. This functionality can be used to separate data flows from different execution brokers.

Improved System Usability

New Functionality

To facilitate the work of users when choosing a subaccount in a filter, in addition to the subaccount number, the «/» sign allows displaying some additional parameters (for example, company-broker, account type, comment, account category) which can simplify the subaccount’s visual identification.

When calculating ACI, the ‘Coupon amount’ parameter is used first. If the coupon amount is unknown, the algorithm calculates ACI by the ‘Coupon annual interest’.


Contacts

For any questions regarding the products, their terms of use and testing, please contact the Sales and Marketing Department of ARQA Technologies: +7-383-2191619, sales@arqatech.com

For all questions on operation of the QORT software, please contact QORT Technical Support Team: +7-383-2191699, qortsupport@arqatech.com

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