将Websocket数据保存到Pandas

Question

我想将Websocket数据消费并保存到pandas DataFrame中，以便其他函数使用。但我对它们非常不熟悉，最初因为试图直接将DataFrame参数传递给on_message（）而产生错误。这个链接建议使用 partial 来添加参数，但我仍然遇到了“error from callback <function on_message at 0x000002A098207510>：local variable 'df' referenced before assignment”错误。

我意识到有更好的方法来处理数据而不是使用DataFrame，但我想先让它工作。谢谢。

import websocket
import pandas as pd
import json
from functools import partial

# create empty df
df = pd.DataFrame(columns=['foreignNotional','grossValue','homeNotional','price','side','size','symbol','tickDirection',
                          'timestamp','trdMatchID'])

def on_message(ws, message):
    msg = json.loads(message)
    print(msg)
    df = df
    df = df.append(msg)

def on_error(ws, error):
    print(error)

def on_close(ws):
    print("### closed ###")

def on_open(ws):
    return

func = partial(on_message, df)
ws.on_message = func

if __name__ == "__main__":
    #websocket.enableTrace(True)
    ws = websocket.WebSocketApp("wss://www.bitmex.com/realtime?subscribe=trade:XBTUSD",
                                on_message=on_message,
                                on_error=on_error,
                                on_close=on_close)
    ws.on_open = on_open
    ws.run_forever()

- swifty

Answer 1

由于您需要修改一个外部对象，而pandas.DataFrame.append不允许原地修改，因此您必须将所有函数和df作为某个类的成员都可用，这样您才能编写self.df = self.df.append(msg)，否则您必须使用global：

import json

import pandas as pd
import websocket

df = pd.DataFrame(columns=['foreignNotional', 'grossValue', 'homeNotional', 'price', 'side',
                           'size', 'symbol', 'tickDirection', 'timestamp', 'trdMatchID'])


def on_message(ws, message):
    msg = json.loads(message)
    print(msg)
    global df
    # `ignore_index=True` has to be provided, otherwise you'll get
    # "Can only append a Series if ignore_index=True or if the Series has a name" errors
    df = df.append(msg, ignore_index=True)


def on_error(ws, error):
    print(error)


def on_close(ws):
    print("### closed ###")


def on_open(ws):
    return


if __name__ == "__main__":
    ws = websocket.WebSocketApp("wss://www.bitmex.com/realtime?subscribe=trade:XBTUSD",
                                on_open=on_open, on_message=on_message, on_error=on_error, on_close=on_close)
    ws.run_forever()

- Eugene Pakhomov