demo D200

The correlation matrix in React

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 React version. The grid mounts through the createLatticeGrid adapter, which takes its configuration as ordinary props and hands back the live grid through a ref. The grid below is the same one every other tab runs.

The configuration

<link rel="stylesheet" href="https://cdn.jsdelivr.net/npm/@toclocoinc/lattice-grid@1.71.0/lattice-grid.min.css">

<div id="app"></div>

<script type="module">
  import React from 'https://esm.sh/react@18';
  import { createRoot } from 'https://esm.sh/react-dom@18/client';
  import { createGrid } from 'https://cdn.jsdelivr.net/npm/@toclocoinc/lattice-grid@1.71.0/lattice-grid.esm.min.js';
  import { createLatticeReact } from 'https://cdn.jsdelivr.net/npm/@toclocoinc/lattice-grid@1.71.0/modules/react.esm.min.js';
  import { createChart } from 'https://cdn.jsdelivr.net/npm/@toclocoinc/lattice-grid@1.71.0/modules/charts.esm.min.js';

  const { LatticeGrid, LatticeChart } = createLatticeReact({ React, createGrid, createChart });

  const columns = [
    { field: 'symbol', title: 'Symbol' },
    { 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' }, total: 'sum' },
  ];
  const rows = [/* trading book: symbol, desk, region, price, bid, volume, notional */];

  function App() {
    const [grid, setGrid] = React.useState(null);

    // A correlogram takes the columns to correlate, the method (pearson,
    // spearman or kendall) and whether to print the coefficient in each cell.
    return (
      <>
        {grid && (
          <LatticeChart grid={grid} type="correlogram" columns={['price', 'bid', 'ask', 'volume', 'notional']} method="pearson" values title="Correlation matrix" style={{ height: '340px' }} />
        )}
        <LatticeGrid rowKey="id" columns={columns} rows={rows} onGridReady={setGrid} style={{ height: '340px', marginTop: '14px' }} />
      </>
    );
  }

  createRoot(document.getElementById('app')).render(<App />);
</script>