Number of taps needed in an FIR filter to remove DC
See How many taps does an FIR filter need?

In your case you'd need more than 1000 taps depending on the allowable ripple, as your cut-off frequency is less than fs/500.

Alternatives :


use an IIR, a simple order-1 DC removal filter could work great
Average your signal and subtract the average in order to remove the DC
Rick Lyons proposes a clever implementation of an FIR DC removal filter using cascaded-integrator-comb filters here https://www.dsprelated.com/showarticle/58.php