Code to download the SP500 components from Yahoo Finance.

sp_components_data.py

# Import the necessary modules
import pandas as pd
import yfinance as yf


def get_sp_data(start='2008-01-01', end=None):
    # Get the current SP components, and get a tickers list
    sp_assets = pd.read_html(
        'https://en.wikipedia.org/wiki/List_of_S%26P_500_companies')[0]
    assets = sp_assets['Symbol'].str.replace('.', '-').tolist()
    # Download historical data to a multi-index DataFrame
    try:
        data = yf.download(assets, start=start, end=end, as_panel=False)
        filename = 'sp_components_data.pkl'
        data.to_pickle(filename)
        print('Data saved at {}'.format(filename))
    except ValueError:
        print('Failed download, try again.')
        data = None
    return data


if __name__ == '__main__':
    sp_data = get_sp_data()

Nice simple code.

I had some problems with the pd.read_html, so I had to do a correction.

sp_assets = pd.read_html('https://en.wikipedia.org/wiki/List_of_S%26P_500_companies')

sp_assets[0].columns = sp_assets[0].iloc[0].values

sp_assets[0].drop(0,0, inplace = True)

assets = sp_assets[0].Symbol.tolist()

Nice simple code.

I had some problems with the pd.read_html, so I had to do a correction.

sp_assets = pd.read_html('https://en.wikipedia.org/wiki/List_of_S%26P_500_companies')

sp_assets[0].columns = sp_assets[0].iloc[0].values

sp_assets[0].drop(0,0, inplace = True)

assets = sp_assets[0].Symbol.tolist()

great!, to solve that problem just include parameter header=0 in pd.read_html

very useful! Thanks!