Sorry, that websocket link is broken. curl -o didn't work either anymore for me. Try:
git clone https://github.com/liris/websocket-client.git
cd websocket-client
python setup.py install
wget https://gist.github.com/flatfly/8253870/raw/9733e34e469e1bcd8d0ae13565ade4eaa0490618/gistfile1.py
python gistfile1.py