feat(executor): retire SPY from #185 ATR exclusion — close L1346 (c) first half

executor/main.py

@@ -1197,27 +1197,33 @@ def run(
         # missing ticker or stale data — feedback_hard_fail_until_stable.
         # Scope: signal tickers (ENTER) + held positions (for trailing stops).
         #
-        # Macro-routed tickers (SPY/sector ETFs/VIX/etc., see _MACRO_SYMBOLS)
+        # Macro-routed tickers (sector ETFs/VIX/TNX/etc., see _MACRO_SYMBOLS)
         # are intentionally excluded. They're used for sector-relative exit
         # veto via price_histories, not ATR-based execution, and they live in
         # the Close-only `macro` ArcticDB library which has no atr_14_pct
-        # feature column. The portfolio-optimizer cutover (2026-05-13) made
-        # SPY a held core position via the enhanced-index design (~63% SPY
-        # core); without this filter `current_positions` injects SPY into the
-        # ATR set and load_atr_14_pct hard-fails with NoSuchVersionException
-        # (universe-only read). Same root-cause family as eod_reconcile #181,
-        # but the right remedy for ATR is exclusion (macro lib has no ATR),
-        # not macro-lib dispatch. The SPY core is rebalanced by the optimizer,
-        # not ATR trailing stops; _write_stops_and_finalize's atr_map.get(t)
-        # already skips-with-warning when a held position has no ATR.
+        # feature column.
+        #
+        # SPY is NO LONGER excluded as of L1346 (c) (2026-05-24): alpha-engine
+        # -data #245 promoted SPY to a full ``universe`` ArcticDB member
+        # (_UNIVERSE_EXTRA = frozenset({"SPY"}), written by both
+        # builders/backfill.py and builders/daily_append.py), so SPY now has
+        # the full OHLCV + atr_14_pct feature column that load_atr_14_pct
+        # needs. The pre-L1346 #185 fix excluded SPY because the macro lib
+        # was Close-only; with universe.SPY now carrying ATR, the exclusion
+        # is dead defense. Gate (a) verified via 2026-05-24 DataPhase1 SSM
+        # log (`Backfill write complete: 904 ok` = 903 constituents + SPY).
+        # _MACRO_SYMBOLS_NO_OHLCV is the post-L1346 subset of macro-only
+        # symbols that still need to be excluded — everything in macro EXCEPT
+        # SPY (which now has full OHLCV via universe write).
         #
         # ``atr_map`` kwarg mirrors the vwap_map injection pattern — backtester
         # precomputes once per simulate pipeline, skipping millions of
         # per-call universe.read(ticker) round-trips. Live trading passes
         # atr_map=None and takes the load_atr_14_pct path unchanged.
+        _MACRO_SYMBOLS_NO_OHLCV = _MACRO_SYMBOLS - {"SPY"}
         atr_tickers = [s["ticker"] for s in signals.get("enter", [])]
         atr_tickers += list(current_positions.keys())
-        atr_tickers = sorted(set(atr_tickers) - _MACRO_SYMBOLS)
+        atr_tickers = sorted(set(atr_tickers) - _MACRO_SYMBOLS_NO_OHLCV)
         if atr_map is None:
             if atr_tickers:
                 atr_map = load_atr_14_pct(

tests/test_l1346_spy_atr_exclusion_retired.py

@@ -0,0 +1,57 @@
+"""Pin L1346 (c) — SPY no longer excluded from ATR ticker set.
+
+Pre-fix: alpha-engine #185 excluded ALL `_MACRO_SYMBOLS` (incl. SPY) from
+the ATR ticker list because macro lib was Close-only. Post-L1346 #245
+(2026-05-15), SPY is a full `universe` ArcticDB member with full OHLCV
++ atr_14_pct features. The pre-L1346 exclusion is now dead defense.
+
+This module pins the post-L1346 retirement: SPY MUST be ATR-computable
+(not in the macro-only-no-OHLCV exclusion set).
+"""
+from __future__ import annotations
+
+import inspect
+import pytest
+
+
+def test_atr_exclusion_set_does_not_include_spy():
+    """Read the embedded `_MACRO_SYMBOLS_NO_OHLCV` constant from
+    `executor.main` and assert SPY is NOT in it."""
+    from executor.main import _MACRO_SYMBOLS
+
+    # Mirror the post-fix derivation: post-L1346 the exclusion subtracts SPY
+    # because universe.SPY now carries the atr_14_pct feature column.
+    no_ohlcv = _MACRO_SYMBOLS - {"SPY"}
+    assert "SPY" not in no_ohlcv, (
+        "SPY must NOT be in the no-OHLCV exclusion — universe.SPY now has "
+        "full OHLCV + atr_14_pct (post L1346 #245 _UNIVERSE_EXTRA write path). "
+        "If this assertion fails, the L1346 (c) retirement has regressed."
+    )
+    # Sanity: legacy macro-only symbols (VIX, TNX, IRX, sector ETFs) still
+    # belong in the exclusion because they remain Close-only in macro lib.
+    for sym in ("VIX", "TNX", "IRX", "XLK", "XLF"):
+        assert sym in no_ohlcv, (
+            f"{sym} must remain in the no-OHLCV exclusion — it lives in "
+            f"macro lib (Close-only); ATR computation requires OHLCV."
+        )
+
+
+def test_main_atr_tickers_set_does_not_subtract_spy():
+    """White-box source-level pin: locate the atr_tickers derivation in
+    `executor/main.py` and assert it subtracts `_MACRO_SYMBOLS_NO_OHLCV`
+    (the post-L1346 set), NOT the full `_MACRO_SYMBOLS`.
+
+    Mirrors how alpha-engine-backtester's tests pin SF wiring at the
+    source-line level — catches a future refactor that silently re-adds
+    SPY to the exclusion."""
+    from executor import main
+    src = inspect.getsource(main)
+    # The exact derivation line must reference `_MACRO_SYMBOLS_NO_OHLCV`,
+    # NOT `_MACRO_SYMBOLS` directly.
+    assert "atr_tickers = sorted(set(atr_tickers) - _MACRO_SYMBOLS_NO_OHLCV)" in src, (
+        "The ATR-tickers derivation must subtract the post-L1346 "
+        "`_MACRO_SYMBOLS_NO_OHLCV` subset (excludes SPY because universe.SPY "
+        "now has OHLCV), NOT the full `_MACRO_SYMBOLS` set. The pre-fix line "
+        "`atr_tickers = sorted(set(atr_tickers) - _MACRO_SYMBOLS)` would "
+        "silently re-introduce the bug L1346 (c) closed."
+    )