Cannot create data.h5 for 03_101_formulaic_alphas.ipynb

Data
#1

I am working on the chapter about formulaic alphas, and just cloned the repository for the book. Unfortunately, I cannot run the following code:

data = (pd.read_hdf('data.h5', 'data/top500')
        .loc[:, ohlcv + ['ret_01', 'sector', 'ret_fwd']]
        .rename(columns={'ret_01': 'returns'})
        .sort_index())

In the notebook
data/create_datasets.ipynb

I do not find the code creating
data/top500

Please help.