Python code to get price data for all S&P500 tickers

SP500_tickers_data.py

# Import packages
import yfinance as yf
import pandas as pd

# Read and print the stock tickers that make up S&P500
tickers = pd.read_html(
    'https://en.wikipedia.org/wiki/List_of_S%26P_500_companies')[0]
print(tickers.head())

# Get the data for this tickers from yahoo finance
data = yf.download(tickers.Symbol.to_list(),'2021-1-1','2021-7-12', auto_adjust=True)['Close']
print(data.head())

So generally, the steps to clean the data involve handling missing data, feature engineering, and normalizing/scaling the data. If you are looking for something specific, please do let us know.