The increasing penetration of distributed energy resources (DERs) adds variability as well as fast control capabilities to power networks. Dispatching the DERs based on local information to provide real-time optimal network operation is the desideratum. In this paper, we propose a data-driven real-time algorithm that uses only the local measurements to solve time-varying AC optimal power flow (OPF). Specifically, we design a learnable function that takes the local feedback as input in the algorithm. The learnable function, under certain conditions, will result in a unique stationary point of the algorithm, which in turn transfers the OPF problems to be optimized over the parameters of the function. We then develop a stochastic primal-dual update to solve the variant of the OPF problems based on a deep neural network (DNN) parametrization of the learnable function, which is referred to as the training stage. We also design a gradient-free alternative to bypass the cumbersome gradient calculation of the nonlinear power flow model. The OPF solution-tracking error bound is established in the sense of universal approximation of DNN. Numerical results on the IEEE 37-bus test feeder show that the proposed method can track the time-varying OPF solutions with higher accuracy and faster computation compared to benchmark methods.