data_sheet=pd.DataFrame(columns =["Ticker", 'open', 'close', 'high', 'low', 'value', 'volume', 'begin', 'end'])

for h in range(160000,370000+1, 5000):
            url=f'https://iss.moex.com/iss/engines/futures/markets/options/\
securities/MX{h}BA0/candles.csv?from=\
2019-01-01&till=2020-01-01&interval=24&iss.meta=on'
            data_sheet=data_sheet.append(pd.read_csv(url, sep=";", skiprows=2), ignore_index=True, sort=False)

            data_sheet['Ticker'][len(data_sheet['Ticker'])-1]=f'MX{h}BA0'

Вывод

Ticker  open    close   high    low value   volume  begin   end
0   NaN 6750    6750    6750    6750    0   1   2019-11-27 00:00:00 2019-11-27 19:20:21
1   MX300000BA0 8000    8000    8000    8000    0   1   2019-12-27 00:00:00 2019-12-27 19:20:21
2   MX320000BA0 4225    4225    4225    4225    0   1   2019-12-20 00:00:00 2019-12-20 23:59:59
3   NaN 375 375 375 375 0   1   2019-12-20 00:00:00 2019-12-20 23:59:59
4   MX325000BA0 250 250 250 250 0   1   2019-12-30 00:00:00 2019-12-30 23:59:59
5   NaN 325 325 325 325 0   1   2019-12-19 00:00:00 2019-12-19 23:59:59
6   MX330000BA0 125 100 125 100 0   2   2019-12-30 00:00:00 2019-12-30 23:59:59
7   NaN 325 325 325 325 0   1   2019-12-19 00:00:00 2019-12-19 23:59:59
8   MX335000BA0 75  75  75  75  0   1   2019-12-23 00:00:00 2019-12-23 23:59:59
9   MX340000BA0 125 125 125 125 0   1   2019-12-19 00:00:00 2019-12-19 23:59:59
10  MX350000BA0 325 125 325 125 0   2   2019-12-19 00:00:00 2019-12-19 23:59:59
11  MX355000BA0 325 125 325 125 0   2   2019-12-19 00:00:00 2019-12-19 23:59:59
12  MX370000BA0 325 125 325 125 0   4   2019-12-19 00:00:00 2019-12-19 23:59:59