将 Websocket 数据保存到 Pandas

Question

我正在尝试使用 websocket 数据并将其保存到 Pandas DataFrame 以供其他功能使用。但是，我对它们非常不熟悉，最初出现错误是因为我试图将 df 参数直接传递给 on_message()。此链接建议使用partial添加参数，但我仍然收到error from callback <function on_message at 0x000002A098207510>: local variable 'df' referenced before assignment错误消息。

我意识到有更好的方法来处理数据而不是数据框，但我只想先让它工作。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()

Answer 1

由于您必须修改外部对象，并且pandas.DataFrame.append不允许就地修改，因此您必须使所有函数都df可以作为某个类的成员使用，因此您可以编写self.df = self.df.append(msg)或使用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()