refactor(spy-universe): retire _MACRO_SYMBOLS SPY-special-cases (L1346 c)

executor/eod_reconcile.py

@@ -563,12 +563,15 @@ def run(run_date: str | None = None) -> None:
     # Hard-fails on any miss: EOD reconcile must reconcile against an
     # authoritative price source, not IB Gateway's delayed intraday data.
     #
-    # Macro-routed held positions (SPY/sector ETFs/etc.) live in the
-    # `macro` library, NOT `universe`. The portfolio-optimizer cutover
+    # Macro-routed held positions (sector ETFs / VIX / TNX / etc.) live in
+    # the `macro` library, NOT `universe`. The portfolio-optimizer cutover
     # (2026-05-13) made SPY a held core position; its first EOD on
     # 2026-05-14 raised NoSuchVersionException because reconcile was
-    # universe-only. Mirror price_cache.load_price_histories' macro-aware
-    # dispatch (executor/price_cache.py:128-145, _MACRO_SYMBOLS).
+    # universe-only. SPY-as-held is now read from `universe` directly
+    # (alpha-engine-data #245 lifted SPY to a full universe member via
+    # `_UNIVERSE_EXTRA`); only the remaining macro-only-Close symbols still
+    # need the macro-lib dispatch. Mirror `price_cache.load_price_histories`
+    # (executor/price_cache.py, `_MACRO_SYMBOLS`).
     from executor.price_cache import (
         _open_universe_library,
         _open_macro_library,
@@ -579,13 +582,8 @@ def run(run_date: str | None = None) -> None:
     target_ts = pd.Timestamp(run_date).normalize()
     closing_prices: dict[str, float] = {}
     missing: list[str] = []
-    # L1346 (c) second-half routing post-#245: SPY removed from macro-routed
-    # set since universe.SPY now carries full OHLCV. Defensive macro fallback
-    # for SPY preserves backwards compat — mirrors price_cache.py + predictor
-    # #196 pattern.
-    _MACRO_SYMBOLS_NO_OHLCV = _MACRO_SYMBOLS - {"SPY"}
     for ticker in positions.keys():
-        if ticker in _MACRO_SYMBOLS_NO_OHLCV:
+        if ticker in _MACRO_SYMBOLS:
             if macro_lib is None:
                 macro_lib = _open_macro_library(trades_bucket)
             lib = macro_lib
@@ -594,22 +592,8 @@ def run(run_date: str | None = None) -> None:
         try:
             df = lib.read(ticker).data
         except Exception as e:
-            # SPY-specific defensive fallback to macro.SPY if universe.SPY
-            # unreadable. Removed once L1346 (b)+(c) soak clean ≥1 cycle.
-            if ticker == "SPY" and lib is universe_lib:
-                if macro_lib is None:
-                    macro_lib = _open_macro_library(trades_bucket)
-                try:
-                    df = macro_lib.read(ticker).data
-                except Exception as e2:
-                    missing.append(
-                        f"{ticker} (universe={e.__class__.__name__}, "
-                        f"macro={e2.__class__.__name__})"
-                    )
-                    continue
-            else:
-                missing.append(f"{ticker} ({e.__class__.__name__})")
-                continue
+            missing.append(f"{ticker} ({e.__class__.__name__})")
+            continue
         if df.empty or "Close" not in df.columns:
             missing.append(f"{ticker} (no Close column)")
             continue

executor/main.py

@@ -1197,33 +1197,28 @@ def run(
         # missing ticker or stale data — feedback_hard_fail_until_stable.
         # Scope: signal tickers (ENTER) + held positions (for trailing stops).
         #
-        # 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.
+        # Macro-routed tickers (sector ETFs / VIX / TNX / etc., see
+        # _MACRO_SYMBOLS) are intentionally excluded. They live in the
+        # Close-only `macro` ArcticDB library which has no atr_14_pct
+        # feature column and are used for sector-relative exit veto via
+        # price_histories, not ATR-based execution.
         #
-        # 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).
+        # SPY is NOT excluded — alpha-engine-data #245 (2026-05-15) lifted
+        # SPY to a full `universe` ArcticDB member (`_UNIVERSE_EXTRA =
+        # frozenset({"SPY"})`, written by both builders/backfill.py and
+        # builders/daily_append.py), so `universe.SPY` carries the full
+        # OHLCV + atr_14_pct feature column that `load_atr_14_pct` needs.
+        # SPY is removed from `_MACRO_SYMBOLS` (price_cache.py) for the
+        # same reason — the executor reads SPY from `universe` like any
+        # other held ticker.
         #
         # ``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_NO_OHLCV)
+        atr_tickers = sorted(set(atr_tickers) - _MACRO_SYMBOLS)
         if atr_map is None:
             if atr_tickers:
                 atr_map = load_atr_14_pct(

executor/price_cache.py

@@ -39,12 +39,17 @@
 # predictor's own DailyData dependency expectation.
 _ATR_MAX_STALENESS_TRADING_DAYS = 1
 
-# Symbols that live in the ArcticDB `macro` library rather than `universe`.
-# Mirrors the canonical writer list in alpha-engine-data's
-# ``builders/daily_append.py`` (macro_keys + sector_etfs). Kept in sync
-# manually; any additions there need matching updates here.
+# Symbols the executor reads from the ArcticDB `macro` library (Close-only).
+# Subset of what alpha-engine-data writes to macro — SPY is dual-written
+# there but read from `universe` for full OHLCV + atr_14_pct (L1346 (c)
+# retirement, 2026-05-28; SPY became a full `universe` member via
+# alpha-engine-data #245's `_UNIVERSE_EXTRA = frozenset({"SPY"})` write
+# path on 2026-05-15). VIX/VIX3M/TNX/IRX/GLD/USO + XL* sector ETFs stay
+# macro-routed because they have no `universe` counterpart and their
+# use cases (sector-relative exit veto + macro features) consume Close
+# only.
 _MACRO_SYMBOLS = frozenset({
-    "SPY", "VIX", "VIX3M", "TNX", "IRX", "GLD", "USO",
+    "VIX", "VIX3M", "TNX", "IRX", "GLD", "USO",
     "XLB", "XLC", "XLE", "XLF", "XLI", "XLK",
     "XLP", "XLRE", "XLU", "XLV", "XLY",
 })
@@ -131,17 +136,8 @@ def load_price_histories(
     read_errors: list[str] = []
     empty: list[str] = []
 
-    # L1346 (c) second-half routing post-#245:
-    # SPY is no longer in `_MACRO_SYMBOLS_NO_OHLCV` because universe.SPY
-    # now carries full OHLCV (alpha-engine-data #245 _UNIVERSE_EXTRA
-    # write path; gate (a) verified via 5/24 DataPhase1 SSM log).
-    # Defensive fallback to macro.SPY preserves backwards compat during
-    # the cross-repo retirement — mirrors alpha-engine-predictor #196's
-    # universe-preferred + macro-fallback shape. Non-SPY macro symbols
-    # (VIX/TNX/IRX/sector ETFs) remain macro-routed (still Close-only).
-    _MACRO_SYMBOLS_NO_OHLCV = _MACRO_SYMBOLS - {"SPY"}
     for ticker in tickers:
-        if ticker in _MACRO_SYMBOLS_NO_OHLCV:
+        if ticker in _MACRO_SYMBOLS:
             if macro is None:
                 macro = _open_macro_library(signals_bucket)
             lib = macro
@@ -150,24 +146,8 @@ def load_price_histories(
         try:
             df = lib.read(ticker).data
         except Exception as e:
-            # L1346 (c) SPY-specific fallback: if SPY isn't in universe
-            # (e.g. universe.SPY backfill hadn't run yet), fall through
-            # to macro.SPY. Removed once L1346 (b) + (c) soak clean for
-            # ≥1 Saturday cycle on production.
-            if ticker == "SPY" and lib is universe:
-                if macro is None:
-                    macro = _open_macro_library(signals_bucket)
-                try:
-                    df = macro.read(ticker).data
-                except Exception as e2:
-                    read_errors.append(
-                        f"{ticker} (universe={e.__class__.__name__}, "
-                        f"macro={e2.__class__.__name__})"
-                    )
-                    continue
-            else:
-                read_errors.append(f"{ticker} ({e.__class__.__name__})")
-                continue
+            read_errors.append(f"{ticker} ({e.__class__.__name__})")
+            continue
         if df.empty:
             empty.append(ticker)
             continue

tests/test_executor_run_precompute_kwargs.py

@@ -290,10 +290,28 @@ def test_main_imports_macro_symbols_from_price_cache():
     tickers (defined in price_cache.py, also consumed by
     load_price_histories + eod_reconcile #181). Pin the import so the
     exclusion set never drifts from the dispatch set.
+
+    Post-L1346 (c) (2026-05-28): SPY is excluded from `_MACRO_SYMBOLS`
+    because `universe.SPY` now carries full OHLCV + atr_14_pct via
+    alpha-engine-data #245's `_UNIVERSE_EXTRA` write path. SPY is read
+    from `universe` like any other held ticker. VIX/VIX3M/TNX/IRX/GLD/
+    USO + XL* sector ETFs remain macro-routed (no `universe` counterpart;
+    Close-only).
     """
     from executor.price_cache import _MACRO_SYMBOLS
 
-    assert "SPY" in _MACRO_SYMBOLS
+    assert "SPY" not in _MACRO_SYMBOLS, (
+        "SPY must NOT be in _MACRO_SYMBOLS post-L1346 (c) retirement — "
+        "universe.SPY now has full OHLCV (alpha-engine-data #245). "
+        "Re-adding SPY here would re-introduce the dead-defense pattern "
+        "that excluded SPY from ATR computation."
+    )
+    # Sanity: remaining macro-only symbols still routed to macro lib.
+    for sym in ("VIX", "TNX", "IRX", "XLK", "XLF"):
+        assert sym in _MACRO_SYMBOLS, (
+            f"{sym} must remain in _MACRO_SYMBOLS — it lives only in the "
+            f"`macro` ArcticDB library (Close-only)."
+        )
     assert executor_main._MACRO_SYMBOLS is _MACRO_SYMBOLS, (
         "executor.main must reuse price_cache._MACRO_SYMBOLS, not "
         "redefine its own macro set (drift risk)."

tests/test_l1346_spy_atr_exclusion_retired.py

@@ -1,57 +1,93 @@
-"""Pin L1346 (c) — SPY no longer excluded from ATR ticker set.
+"""Pin L1346 (c) — SPY routes to `universe` ArcticDB library, not `macro`.
 
 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.
+the ATR ticker list because macro lib was Close-only. The 2026-05-24
+transition shipped a `_MACRO_SYMBOLS_NO_OHLCV = _MACRO_SYMBOLS - {"SPY"}`
+defensive carve-out + a SPY-specific macro-fallback in `load_price_histories`
+to bridge the cross-repo soak window after alpha-engine-data #245
+(2026-05-15) lifted SPY to a full `universe` member.
 
-This module pins the post-L1346 retirement: SPY MUST be ATR-computable
-(not in the macro-only-no-OHLCV exclusion set).
+Post-retirement (2026-05-28): the carve-out + defensive fallback are gone.
+SPY is removed from `_MACRO_SYMBOLS` entirely — the executor reads SPY
+from `universe` like any other held ticker, and the ATR-exclusion line
+subtracts `_MACRO_SYMBOLS` directly (no `_NO_OHLCV` derivation).
+
+This module pins the structural retirement so a refactor can't silently
+re-introduce the dead defense.
 """
 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
+def test_spy_not_in_macro_symbols():
+    """`_MACRO_SYMBOLS` must NOT contain SPY post-L1346 (c) retirement."""
+    from executor.price_cache 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."
+    assert "SPY" not in _MACRO_SYMBOLS, (
+        "SPY must NOT be in `_MACRO_SYMBOLS` — universe.SPY now has full "
+        "OHLCV + atr_14_pct (post L1346 #245 _UNIVERSE_EXTRA write path). "
+        "Re-adding SPY here would route reads to macro (Close-only) and "
+        "re-break the morning planner's ATR computation for held SPY."
     )
     # Sanity: legacy macro-only symbols (VIX, TNX, IRX, sector ETFs) still
-    # belong in the exclusion because they remain Close-only in macro lib.
+    # belong in the routing list 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."
+        assert sym in _MACRO_SYMBOLS, (
+            f"{sym} must remain in `_MACRO_SYMBOLS` — it lives only in the "
+            f"`macro` ArcticDB library (Close-only); ATR computation "
+            f"requires OHLCV."
         )
 
 
-def test_main_atr_tickers_set_does_not_subtract_spy():
+def test_main_atr_tickers_subtracts_macro_symbols_directly():
     """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`.
+    `executor/main.py` and assert it subtracts `_MACRO_SYMBOLS` directly,
+    NOT a `_MACRO_SYMBOLS_NO_OHLCV = _MACRO_SYMBOLS - {"SPY"}` carve-out
+    (which would silently re-introduce the L1346 transitional defense).
 
     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."""
+    source-line level — catches a future refactor that re-adds the
+    SPY-specific 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."
+    assert "atr_tickers = sorted(set(atr_tickers) - _MACRO_SYMBOLS)" in src, (
+        "The ATR-tickers derivation must subtract `_MACRO_SYMBOLS` "
+        "directly. The pre-retirement form "
+        "`atr_tickers = sorted(set(atr_tickers) - _MACRO_SYMBOLS_NO_OHLCV)` "
+        "with a separate `_MACRO_SYMBOLS_NO_OHLCV = _MACRO_SYMBOLS - {'SPY'}` "
+        "derivation is the dead-defense pattern L1346 (c) retired."
+    )
+    assert "_MACRO_SYMBOLS_NO_OHLCV" not in src, (
+        "`_MACRO_SYMBOLS_NO_OHLCV` derivation must not re-appear in "
+        "`executor/main.py` — it was a transitional carve-out retired "
+        "post-soak when SPY became a full `universe` member."
+    )
+
+
+def test_price_cache_no_spy_specific_fallback():
+    """`load_price_histories` must not carry a SPY-specific macro
+    fallback. The defensive fallback was a transition device while
+    universe.SPY's write path soaked; after retirement reads go straight
+    to `universe` like any other ticker."""
+    from executor import price_cache
+    src = inspect.getsource(price_cache)
+    assert 'if ticker == "SPY" and lib is universe' not in src, (
+        "Defensive SPY-specific macro fallback must be retired — "
+        "universe.SPY is the canonical source post-L1346 (c). If "
+        "universe.SPY ever fails to read, the right surface is a hard "
+        "failure (per feedback_no_silent_fails), not a silent macro "
+        "fallback that masks the upstream gap."
+    )
+
+
+def test_eod_reconcile_no_spy_specific_fallback():
+    """`eod_reconcile.run` must not carry a SPY-specific macro fallback.
+    Same rationale as `price_cache` above."""
+    from executor import eod_reconcile
+    src = inspect.getsource(eod_reconcile)
+    assert 'if ticker == "SPY" and lib is universe_lib' not in src, (
+        "Defensive SPY-specific macro fallback must be retired from "
+        "eod_reconcile — universe.SPY is the canonical source post-L1346 "
+        "(c). Silent macro fallback would mask universe.SPY gaps."
     )