demo D200

The correlation matrix in ESM

Every numeric column against every other, Pearson or Spearman

type: 'correlogram'

This draws a correlation matrix of every numeric column against every other, by Pearson or Spearman. It surfaces which measures move together across a whole dataset in one picture, so a relationship worth chasing stands out.

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.jsdelivr.net/npm/@toclocoinc/lattice-grid@1.71.0/lattice-grid.min.css">

<div id="grid" style="height: 340px"></div>
<div id="chart" style="height: 340px"></div>

<script type="module">
  import { createChart } from '@toclocoinc/lattice-grid/modules/charts';

  const grid = createGrid(document.getElementById('grid'), {
    rowKey: 'id',
    columns: [
      { field: 'symbol', title: 'Symbol' },
      { field: 'desk', title: 'Desk', filter: { type: 'set' } },
      { field: 'price', title: 'Price', type: 'number', format: { decimals: 4 } },
      { field: 'bid', title: 'Bid', type: 'number', format: { decimals: 4 } },
      { field: 'ask', title: 'Ask', 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' }, total: 'sum' },
    ],
    rows,  // instruments: symbol, desk, price, bid, ask, volume, notional
  });

  // A chart reads the grid's filtered rows and redraws when the grid changes.
  // A correlogram takes the columns to correlate, the method (pearson, spearman
  // or kendall) and whether to print the coefficient in each cell.
  createChart({
    grid,
    container: document.getElementById('chart'),
    type: 'correlogram',
    columns: ['price', 'bid', 'ask', 'volume', 'notional'],
    method: 'pearson',
    values: true,
    title: 'Correlation matrix',
  });
</script>