How to execute a function on KeyboardInterrupt

I have a working trading code. On KeyboardInterrupt I’d like that a custom function is executed. For example, in case of bale out I want that all positions are sold. My code structure is sth as follows:

class my_strategy(object):
def init(self):

def start_trading(self):
     conn = tradeapi.StreamConn(...)

     @conn.on(r'AM\..+$') #^AM$
      async def on_minute_bars(conn, channel, bar):

except KeyboardInterrupt as Key:

The problem is that self.my_cusom_func() does not execute on the KeyboardInterrupt, which I’d expect. So where shall I place the self.my_custom_func() in order to be executed on the KeyboardInterrupt?