demo D182

Correlation and weighted averages in ESM

Two-column figures from the API, over the filtered rows

grid.statistics.correlation(a, b)

This grid computes two-column figures, correlation and weighted averages, from the API over the filtered rows. It answers how two measures relate across the current selection, updating as the filter changes.

Building…

Loading a live grid…

This is the ES module version. The grid is imported straight from a CDN as a module, the same configuration as the vanilla tab without a global script tag, so it drops into any bundler or a bare module script.

The configuration

<link rel="stylesheet" href="https://cdn.latticegrid.dev/lattice-grid@1.107.0/lattice-grid.min.css">

<div id="grid" style="height: 420px"></div>
<div id="panel" style="margin-top: 12px; font: 13px system-ui; display: flex; flex-wrap: wrap; gap: .4rem 1.4rem"></div>

<script type="module">
  import { createGrid } from 'https://cdn.latticegrid.dev/lattice-grid@1.107.0/lattice-grid.esm.min.js';

  const grid = createGrid(document.getElementById('grid'), {
    rowKey: 'id',
    columnDefaults: { filter: true },
    toolPanel: { side: 'left', panels: ['filters', 'columns'] },
    columns: [
      { field: 'symbol', title: 'Symbol', layout: { pin: 'start', width: 120 } },
      { field: 'desk', title: 'Desk', filter: { type: 'set' } },
      { field: 'region', title: 'Region', filter: { type: 'set' } },
      { field: 'price', title: 'Price', type: 'number', format: { decimals: 4 } },
      { field: 'bid', title: 'Bid', type: 'number', format: { decimals: 4 } },
      { field: 'volume', title: 'Volume', type: 'number', format: { notation: 'compact' } },
      { field: 'notional', title: 'Notional', type: 'number',
        format: { style: 'currency', currency: 'USD', decimals: 2 }, total: 'sum' },
    ],
    rows,  // trading book: symbol, desk, region, price, bid, volume, notional
  });

  const panel = document.getElementById('panel');
  const render = () => {
    const s = grid.statistics;
    const r = s.correlation('price', 'bid');        // Pearson, one number
    const reg = s.regression('price', 'bid');       // slope, intercept, r2
    const wa = s.weightedAverage('price', 'volume'); // volume-weighted price
    panel.innerHTML =
      '<span><strong>corr(price, bid)</strong> ' + r.toFixed(3) + '</span>' +
      '<span><strong>regression</strong> slope ' + reg.slope.toFixed(4) + ', r2 ' + reg.r2.toFixed(3) + '</span>' +
      '<span><strong>vol-weighted price</strong> ' + wa.toFixed(4) + '</span>';
  };
  // Recompute whenever the grid is filtered, so the figures track the view.
  grid.on('filter:changed', render);
  render();
</script>