How to store real-time candle information (open, close, high, low prices) with python from the bitmex websocket?

Question

I am able to connect to the bitmex websocket with python, using the code below.

'''

from bitmex_websocket import BitMEXWebsocket
import logging
from time import sleep


# Basic use of websocket.
def run():
    logger = setup_logger()

    # Instantiating the WS will make it connect. Be sure to add your api_key/api_secret.
    ws = BitMEXWebsocket(endpoint="wss://ws.testnet.bitmex.com/realtime", symbol="XBTUSD",
                         api_key=bitmex_api_key_test, api_secret=bitmex_api_secret_test)

    logger.info("Instrument data: %s" % ws.get_instrument())

    # Run forever
    while(ws.ws.sock.connected):
        logger.info("Ticker: %s" % ws.get_ticker())
        if ws.api_key:
            logger.info("Funds: %s" % ws.funds())
        logger.info("Market Depth: %s" % ws.market_depth())
        logger.info("Recent Trades: %s\n\n" % ws.recent_trades())
        sleep(10)


def setup_logger():
    # Prints logger info to terminal
    logger = logging.getLogger()
    logger.setLevel(logging.INFO)  # Change this to DEBUG if you want a lot more info
    ch = logging.StreamHandler()
    # create formatter
    formatter = logging.Formatter("%(asctime)s - %(name)s - %(levelname)s - %(message)s")
    # add formatter to ch
    ch.setFormatter(formatter)
    logger.addHandler(ch)
    return logger


if __name__ == "__main__":
    run()

'''

It will create a continuous output with new information every 10 sec. Example output of the first second is shown below (apologies for the large body of text).

2022-01-24 14:52:55,684 - bitmex_websocket - INFO - Connecting to wss://ws.testnet.bitmex.com/realtime?subscribe=execution:XBTUSD,instrument:XBTUSD,margin,order:XBTUSD,orderBookL2:XBTUSD,position:XBTUSD,quote:XBTUSD,trade:XBTUSD 2022-01-24 14:52:55,684 - bitmex_websocket - INFO - Connecting to wss://ws.testnet.bitmex.com/realtime?subscribe=execution:XBTUSD,instrument:XBTUSD,margin,order:XBTUSD,orderBookL2:XBTUSD,position:XBTUSD,quote:XBTUSD,trade:XBTUSD 2022-01-24 14:52:55,687 - bitmex_websocket - INFO - Authenticating with API Key. 2022-01-24 14:52:55,687 - bitmex_websocket - INFO - Authenticating with API Key. 2022-01-24 14:52:56,695 - bitmex_websocket - INFO - Connected to WS. 2022-01-24 14:52:56,695 - bitmex_websocket - INFO - Connected to WS. 2022-01-24 14:52:57,701 - bitmex_websocket - INFO - Got all market data. Starting. 2022-01-24 14:52:57,701 - bitmex_websocket - INFO - Got all market data. Starting. 2022-01-24 14:52:57,709 - root - INFO - Instrument data: {'symbol': 'XBTUSD', 'rootSymbol': 'XBT', 'state': 'Open', 'typ': 'FFWCSX', 'listing': '2016-05-04T12:00:00.000Z', 'front': '2016-05-04T12:00:00.000Z', 'expiry': None, 'settle': None, 'listedSettle': None, 'relistInterval': None, 'inverseLeg': '', 'sellLeg': '', 'buyLeg': '', 'optionStrikePcnt': None, 'optionStrikeRound': None, 'optionStrikePrice': None, 'optionMultiplier': None, 'positionCurrency': 'USD', 'underlying': 'XBT', 'quoteCurrency': 'USD', 'underlyingSymbol': 'XBT=', 'reference': 'BMEX', 'referenceSymbol': '.BXBT', 'calcInterval': None, 'publishInterval': None, 'publishTime': None, 'maxOrderQty': 10000000, 'maxPrice': 1000000, 'lotSize': 100, 'tickSize': 0.5, 'multiplier': -100000000, 'settlCurrency': 'XBt', 'underlyingToPositionMultiplier': None, 'underlyingToSettleMultiplier': -100000000, 'quoteToSettleMultiplier': None, 'isQuanto': False, 'isInverse': True, 'initMargin': 0.01, 'maintMargin': 0.0035, 'riskLimit': 20000000000, 'riskStep': 15000000000, 'limit': None, 'capped': False, 'taxed': True, 'deleverage': True, 'makerFee': -0.0001, 'takerFee': 0.0005, 'settlementFee': 0, 'insuranceFee': 0, 'fundingBaseSymbol': '.XBTBON8H', 'fundingQuoteSymbol': '.USDBON8H', 'fundingPremiumSymbol': '.XBTUSDPI8H', 'fundingTimestamp': '2022-01-24T20:00:00.000Z', 'fundingInterval': '2000-01-01T08:00:00.000Z', 'fundingRate': 0.0001, 'indicativeFundingRate': 0.0001, 'rebalanceTimestamp': None, 'rebalanceInterval': None, 'openingTimestamp': '2022-01-24T14:00:00.000Z', 'closingTimestamp': '2022-01-24T15:00:00.000Z', 'sessionInterval': '2000-01-01T01:00:00.000Z', 'prevClosePrice': 33702.68, 'limitDownPrice': None, 'limitUpPrice': None, 'bankruptLimitDownPrice': None, 'bankruptLimitUpPrice': None, 'prevTotalVolume': 147166798830, 'totalVolume': 147166856930, 'volume': 58100, 'volume24h': 3824500, 'prevTotalTurnover': 1953138810607885, 'totalTurnover': 1953138983862673, 'turnover': 173254788, 'turnover24h': 11139447304, 'homeNotional24h': 111.39447304, 'foreignNotional24h': 3824500, 'prevPrice24h': 35196.5, 'vwap': 34332.9957, 'highPrice': 36297, 'lowPrice': 32910, 'lastPrice': 33586, 'lastPriceProtected': 33586, 'lastTickDirection': 'MinusTick', 'lastChangePcnt': -0.0458, 'bidPrice': 33521, 'midPrice': 33544.75, 'askPrice': 33568.5, 'impactBidPrice': 33374.1611, 'impactMidPrice': 33499.5, 'impactAskPrice': 33625.087, 'hasLiquidity': False, 'openInterest': 59224800, 'openValue': 176468583072, 'fairMethod': 'FundingRate', 'fairBasisRate': 0.1095, 'fairBasis': 2.15, 'fairPrice': 33561.15, 'markMethod': 'FairPrice', 'markPrice': 33561.15, 'indicativeTaxRate': 0, 'indicativeSettlePrice': 33559, 'optionUnderlyingPrice': None, 'settledPriceAdjustmentRate': None, 'settledPrice': None, 'timestamp': '2022-01-24T14:52:55.000Z', 'tickLog': 0} 2022-01-24 14:52:57,709 - root - INFO - Instrument data: {'symbol': 'XBTUSD', 'rootSymbol': 'XBT', 'state': 'Open', 'typ': 'FFWCSX', 'listing': '2016-05-04T12:00:00.000Z', 'front': '2016-05-04T12:00:00.000Z', 'expiry': None, 'settle': None, 'listedSettle': None, 'relistInterval': None, 'inverseLeg': '', 'sellLeg': '', 'buyLeg': '', 'optionStrikePcnt': None, 'optionStrikeRound': None, 'optionStrikePrice': None, 'optionMultiplier': None, 'positionCurrency': 'USD', 'underlying': 'XBT', 'quoteCurrency': 'USD', 'underlyingSymbol': 'XBT=', 'reference': 'BMEX', 'referenceSymbol': '.BXBT', 'calcInterval': None, 'publishInterval': None, 'publishTime': None, 'maxOrderQty': 10000000, 'maxPrice': 1000000, 'lotSize': 100, 'tickSize': 0.5, 'multiplier': -100000000, 'settlCurrency': 'XBt', 'underlyingToPositionMultiplier': None, 'underlyingToSettleMultiplier': -100000000, 'quoteToSettleMultiplier': None, 'isQuanto': False, 'isInverse': True, 'initMargin': 0.01, 'maintMargin': 0.0035, 'riskLimit': 20000000000, 'riskStep': 15000000000, 'limit': None, 'capped': False, 'taxed': True, 'deleverage': True, 'makerFee': -0.0001, 'takerFee': 0.0005, 'settlementFee': 0, 'insuranceFee': 0, 'fundingBaseSymbol': '.XBTBON8H', 'fundingQuoteSymbol': '.USDBON8H', 'fundingPremiumSymbol': '.XBTUSDPI8H', 'fundingTimestamp': '2022-01-24T20:00:00.000Z', 'fundingInterval': '2000-01-01T08:00:00.000Z', 'fundingRate': 0.0001, 'indicativeFundingRate': 0.0001, 'rebalanceTimestamp': None, 'rebalanceInterval': None, 'openingTimestamp': '2022-01-24T14:00:00.000Z', 'closingTimestamp': '2022-01-24T15:00:00.000Z', 'sessionInterval': '2000-01-01T01:00:00.000Z', 'prevClosePrice': 33702.68, 'limitDownPrice': None, 'limitUpPrice': None, 'bankruptLimitDownPrice': None, 'bankruptLimitUpPrice': None, 'prevTotalVolume': 147166798830, 'totalVolume': 147166856930, 'volume': 58100, 'volume24h': 3824500, 'prevTotalTurnover': 1953138810607885, 'totalTurnover': 1953138983862673, 'turnover': 173254788, 'turnover24h': 11139447304, 'homeNotional24h': 111.39447304, 'foreignNotional24h': 3824500, 'prevPrice24h': 35196.5, 'vwap': 34332.9957, 'highPrice': 36297, 'lowPrice': 32910, 'lastPrice': 33586, 'lastPriceProtected': 33586, 'lastTickDirection': 'MinusTick', 'lastChangePcnt': -0.0458, 'bidPrice': 33521, 'midPrice': 33544.75, 'askPrice': 33568.5, 'impactBidPrice': 33374.1611, 'impactMidPrice': 33499.5, 'impactAskPrice': 33625.087, 'hasLiquidity': False, 'openInterest': 59224800, 'openValue': 176468583072, 'fairMethod': 'FundingRate', 'fairBasisRate': 0.1095, 'fairBasis': 2.15, 'fairPrice': 33561.15, 'markMethod': 'FairPrice', 'markPrice': 33561.15, 'indicativeTaxRate': 0, 'indicativeSettlePrice': 33559, 'optionUnderlyingPrice': None, 'settledPriceAdjustmentRate': None, 'settledPrice': None, 'timestamp': '2022-01-24T14:52:55.000Z', 'tickLog': 0} 2022-01-24 14:52:57,713 - root - INFO - Ticker: {'last': 33586.0, 'buy': 33521.0, 'sell': 33568.0, 'mid': 33545.0}

However, I would like to use this data to calculate some technical indicators, and create buying and selling signals. How can I store the live websocket data (i.e. in a dataframe that keeps getting updated), containing high, low, open and close candle prices, to perform further calculations?

Thank you!