QORT digest for the second quarter of 2021

23 july 2021

Q2, 2021

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 second quarter of 2021.

New backQORT module

The APA reporting module serves for sending obligatory reports on OTC trades by EU-resident companies in accordance with MiFID II requirements.

Improvements in additional Modules of QORT platform

Module of integration with Cbonds Database

  • The Module of integration with Cbonds Database now supports import of information on depositary shares to QORT products. Such assets are classified in the system as ADR/GDR.
  • During integration with capQORT, it has become possible not only to import but also update information on ETF assets for specified securities.

‘Reporting to NSD Repository’ module

  • With the help of the ‘Reporting to NSD Repository’ module it is possible to register trades with options for indexes and make corrections in the trades.
  • Messages received from NSD can be saved not only on a workstation but also in a separate network folder. It allows saving space on a hard disk.

‘Spot Market Risk Management’ module

  • The ‘Spot Market Risk Management’ module allows setting recalculation time for margin indicators and saving data at check points on a specified date simultaneously with online calculation of these indicators.
  • When calculating margin indicators, it is possible to evaluate bonds in the quotation price currency. Depending on this currency, a currency risk for bonds is taken into account when calculating margin indicators.

Bloomberg DataLicense program interface of QORT

  • The system allows using a new basis for the asset ‘ISDA_30E_360’ (German: 30/360 and Ger: 30/360) when calculating ACI. This parameter can be imported to QORT with the help of the Bloomberg DataLicense program interface.

Module of integration with API NSD

  • Data on values calculated by methodologies of NSD Valuation Center can be imported to the system if the Module of integration with API NSD is used.
  • When uploading reference information via the Module, the ‘Resident’ feature is automatically set for business partners, which are issuers.
  • By using the Module, backQORT can automatically fill in the business partner’s card by using data on the organization intended for regulatory reports and received from the Bank of Russia database. This method is an alternative to reconciliation with a data file from the Bank of Russia website.

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

In the second quarter, great attention was paid to automated accounting of client instructions.

Besides that, a separate application with an open code was developed for outside generation of reports with their further download to backQORT. This allows creating new templates and modifying existing ones without help of ARQA Technologies specialists. It has also become possible to use a price search mechanism in new QORT reports for asset revaluation.

The main improvements in midQORT and backQORT made in the 2nd quarter of 2021 are as follows:


New Functionality

An additional setting allows specifying in a non-trade instruction not only a subaccount but also an analytical account (in case of the client’s unified cash position, the subaccount is not specified when forwarding the instruction). Such instructions will be correctly reconciled with the QUIK transactions file or uploaded from the Non-Trade Instructions module of QUIK. However, after the analytical account is specified, the functionality to sign instructions, calculate PIT for cash withdrawal, and automatically generate non-trade instructions in the Non-Trade Instructions module becomes unavailable.

The ‘Trade instructions’ directory was removed from the system. All the information from this directory is now shown in the register of client instructions.

A setting was added which prevents from changing previously set instruction parameters by using automatic mechanisms of the system.

It is possible to create trade orders with a specified volume and a maximum execution price. A broker executes such an order at the maximum price specified in the order or at the best price.

The system allows automatic matching of trades to roll over positions with global clients’ instructions.

In a printed non-trade instruction form it is possible to specify a representative not only of a legal entity but also of a physical person.

Instead of a subaccount in the global instruction card, it is possible to specify an analytical account which combines clients’ subaccounts on different trading venue sections. This allows automatic matching of one general global instruction with different types of trades. Data on the analytical account for global instructions can be uploaded by using the Web-services integration module.

When forwarding instructions to withdraw assets via the QUIK Non-Trade Instructions module, the amount of cash/securities to withdraw before PIT is separately displayed in the instruction’s parameters. During execution of the order to withdraw cash to backQORT, the sum to be withdrawn can be automatically adjusted by the tax rate.

Use of Filters in Tables

New Functionality

The ‘Included in sanctions lists’ feature was added in asset filters.

It has become possible to filter assets by ISIN codes (one or several) in the ‘Assets’ table.

A type of filtering and formatting by column can be chosen in the context menu.

A new ‘Sort of aggregate’ filter was added to the trade table.

In the ‘Coupon’ table, the data can be filtered by asset relevance.

Accounting of REPO Trades

New Functionality

For OTC REPO trades, it is now possible to choose a method of calculation for the trade’s second part volume by formulas of simple or compound interests.

Work on the Saint-Petersburg Exchange

New Functionality

During reconciliation with the Saint-Petersburg Exchange report ‘XML file of quotations of securities on SPB’ (SPB21), the clearing center’s settlement price can be saved in the system.

For automated registration of clients on the Saint-Petersburg Exchange, it is possible to reserve client codes in QORT. For convenience, client codes for reservation can be uploaded to QORT via the IDB in advance.


New Functionality

Commissions now can be written off automatically without a funds adequacy check.


New Functionality

When uploading positions for securities, it has become possible to transmit a book price in the currency specified in the ‘Position price currency’ setting in the dealer’s library of QUIK.

Tax Accounting

New Functionality

There is support for changes in the Russian Federation tax code in relation to a progressive taxation scale.

It has become possible to write off PIT for coupon interest during redemption of the coupon.

Non-trade Operations

New Functionality

For assets of the ‘Security’ type, an accuracy can be set to account the position corrections for securities and to display the position size. The accuracy can be set manually or by using the intermediate database. If the ‘Number of decimal figures’ parameter is set only for some assets, corrections and positions for the rest of assets will be displayed without a fractional part (in round figures).

To calculate financial performance for a non-trade operation to deposit securities with an unknown purchase price of the asset (for example, if the security was purchased for a client by another broker), the asset’s withdrawal/deposit price can be used. This parameter is filled in when clicking on the ‘WA. position price and ACI’ button.


New Functionality

When generating a report on a portfolio value change over the period, it is possible to choose a source of prices used for asset evaluation.

An external application was developed which allows adjusting templates of client reports and their generation in backQORT. The application is an open source and allows users to generate and modify templates.


New Functionality

Metals (asset of the ‘Commodities’ type) are now taken into account when calculating margin indicators in accordance with the Ordinance No. 5636-U. Risks for metals are calculated similarly to FX risks. Rates for metals can be downloaded via the IDB.

System Usability

New Functionality

Alerts about upcoming expiration of user rights in QUIK are shown in a log-file which allows a backQORT user to preventively react to possible disconnection from the QUIK server caused by license expiration.

Trades of the ‘Margin loan’ type can be generated for a group of instruments at once with a separate trade for each instrument.

If an order for registration of a new client on the Moscow Exchange is made on a non-working day, the system automatically postpones the registration to the next working day.

Numbers of trades’ contracts can be specified as a primary document for a group of trades. A history of asset negotiability can be uploaded to QORT from reference systems.

Middle-office capQORT — Solution for Asset Management Companies

ARQA Technologies optimized the work of capQORT with databases and developed a light version of the ‘Portfolio organizer’ interface to increase the system’s processing speed. A number of improvements were made to expand the trading functionality related to derivatives market instruments.

The main improvements in the capQORT system in the 2nd quarter of 2021 include:


New Functionality

A group of instruments can be filtered by new types (‘Microfinance organization’, ‘International financial organization’) and countries of the issuers.

Metals (asset of the ‘Commodities’ type) are now taken into account when calculating margin indicators in accordance with the Ordinance No. 5636-U. Risks for metals are calculated similarly to FX risks.

Pool Orders

New Functionality

When forwarding a pool order to buy assets for a group of portfolio with a number set as a share of the portfolio’s net asset value, an order can be generated for the available cash balance (by using an additional checkbox). This excludes cancellation of such orders by the system for specified subaccounts when the order volume of such subaccounts exceeds the volume of the cash balance available on them.

The system allows accounting futures-style options and future contracts as a percentage of the portfolio’s net asset value with account of a required collateral as well as forwarding pool orders to increase/decrease the share of the portfolio’s net asset value. When forwarding orders on the derivatives market, it is checked whether cash is acceptable as collateral for the instrument.

When generating or editing pool orders and during rebalancing, it is possible to make substring search for a counterparty.

When forwarding pool orders (including orders on the FX market and REPO orders), a number of the instrument can be specified in lots or units. The measure (lots/units) is explicitly specified in the order placement form.

Pool orders for the FX market can be forwarded from a general position table and ‘Fund parameters’ table of a portfolio organizer.

Processing Speed

New Functionality

To speed up data uploading from the server and to increase the terminal’s processing speed, an option was added which allows starting a light version of the ‘Portfolio organizer’ interface. When working with instructions, some data and context menu items are not available in this version. The user can make settings in the system terminal.

Current values of the subaccounts table will not be updated if there is a coincidence of parameters of the record found in the DB and the one imported via the IDB.


New Functionality

If default risk levels assigned by various rating agencies to an issuer or a specified emission differ, both the best and the worst rating of the given rating scales can be used during limit control by rating of issuers or emissions.

The ‘List of limits’ report now can be generated not only as a general list but also detailed by issuers or groups of issuers.

To monitor bond duration in portfolios, it is possible to use duration/modified duration to offer if the data were uploaded to the system. When the data are not available, duration to redemption is monitored.

When calculating a volume of funds and securities available for direct and reverse REPO orders, it has become possible not to take account of funds blocked for T+ trading operations.

System Usability

New Functionality

Alerts about upcoming expiration of user rights in QUIK are shown in a log-file which allows a capQORT user to preventively react to possible disconnection from the QUIK server caused by license expiration.

A type of filtering and formatting by column can be chosen in the context menu.

To deactivate synchronization of positions with QUIK for specified accounts, it is possible to combine arbitrary capQORT subaccounts into an analytical account with deactivation of position synchronization for this analytical account.

In all negotiated trading modes, it has become possible to manually edit settlement codes for trades if necessary.

In the ‘Coupon’ table, the data can be filtered by asset relevance.


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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