Probably the first place to look would be CRSP (crsp.org) and WRDS (wrds-www.wharton.upenn.edu). You would need a .edu email to set up an account and get the da

Probably the first place to look would be CRSP (crsp.org) and WRDS (wrds-www.wharton.upenn.edu). You would need a .edu email to set up an account and get the data. (If you don't have one, hopefully you can find a buddy who does.) In terms of pulling price history on-demand, Yahoo Finance seems to be a popular choice, but I don't think it will allow you to download a large enough dataset for meaningful training--that said, I haven't tried it, so I invite anyone to share their experience. Additionally, you may want to try searching for the most cited papers for "ML in trading" and see what kind of datasets they use. Be prepared for a lot of gruntwork formatting the data before you feed it into your model: those papers might also give you a lot of context on how to do this gruntwork right from the first time.