Let $r_4(n)$ be the number of $4$-tuples $a,b,c,d\in \bf Z$ satisfying $a^2+b^2+c^2+d^2=n$. Then $\sum_{n\geq 0}r_4(n)e^{2\pi i\, nz}dz$ is a holomorphic differential form on the upper half-plane that is invariant by a subgroup of finite index in ${\rm SL}_2(\bf Z)$ (acting by $\frac{az+b}{cz+d}$).

The same is true if you replace $r_4(n)$ by $a_n(E)$ where:

-- $E$ is an elliptic curve defined over $\bf Q$,

-- if $p$ is a prime number, $a_p(E)=p+1-N_p(E)$ and $N_p(E)$ is the number of points of $E$ in ${\bf Z}/p{\bf Z}$,

-- $a_n(E)$, for $n\in\bf N$, is defined by $\sum_n a_n(E)n^{-s}=\prod_p(1-a_p(E)p^{-s}+p^{1-2s})^{-1}$ (the product has to be taken over the prime numbers $p$ such that $E$ remains an elliptic curve modulo $p$ which excludes finitely many of them).