You need to discipline her. If she is annoying you while you play, take her outside on a walk, then lock her up in the cage for a while until she learns that you need your time, too. Make sure to spend time with her, but also set boundaries. The cage isn't a bad thing-you should also make her sleep in it at night so she establishes it as her place. Eventually you can get her her own bed and put it on the floor next to you while you play.