Correlation Matrix

Here's some reusable code to compute and draw a correlation matrix from a set of data in JavaScript. Here's how it works:

jeezy's correlationMatrix function calculates a correlation matrix for a set of data.
data2grid sets up a layout for that correlation matrix.
chroma creates a color scale based on the extents of the correlation matrix (in this case it ignores correlations of 1, because the data set is random and so all correlations are quite low other than when both columns are the same).
d3 draws the correlation matrix to the DOM.

<!DOCTYPE html>
<html>
<head>
  <style>
  body {
    margin: 0 auto;
    display: table;
    font-family: "Helvetica Neue", sans-serif;
  }
  rect.selected {
    stroke: #000;
    stroke-width: 2px;
  }
  .axis .domain {
    display: none;
  }
  .axis .tick text.selected {
    font-weight: bold;
    font-size: 1.2em;
    fill: #47ff63;
  }
  .axis .tick line.selected {
    stroke: #47ff63;  
  }
  .tip {
    position: absolute;
    font-size: .8em;
    text-align: center;
    text-shadow: -1px -1px 1px #ffffff, -1px 0px 1px #ffffff, -1px 1px 1px #ffffff, 0px -1px 1px #ffffff, 0px 1px 1px #ffffff, 1px -1px 1px #ffffff, 1px 0px 1px #ffffff, 1px 1px 1px #ffffff;
  }

#legend {
    margin-bottom: 10px;
  }
  #legend text {
    font-size: .8em;
  }
  </style>
</head>
<body>
  <div id="legend"></div>
  <div id="grid"></div>
  <script src="https://d3js.org/d3.v4.min.js"></script>
  <script src="https://unpkg.com/jeezy@1.12.11/lib/jeezy.min.js"></script>
  <script src="https://unpkg.com/data2grid@1.0.0/build/data2grid.min.js"></script>
  <script src="https://cdnjs.cloudflare.com/ajax/libs/chroma-js/1.3.5/chroma.min.js"></script>
  <script>
  d3.select("body").append("div").attr("class", "tip").style("display", "none");

var grid = data2grid.grid(corr);
  var rows = d3.max(grid, function(d){ return d.row; });

var margin = {top: 20, bottom: 1, left: 20, right: 1};

var dim = d3.min([window.innerWidth * .9, window.innerHeight * .9]);

var width = dim - margin.left - margin.right, height = dim - margin.top - margin.bottom;

var svg = d3.select("#grid").append("svg")
      .attr("width", width + margin.left + margin.right)
      .attr("height", height + margin.top + margin.bottom)
    .append("g")
      .attr("transform", "translate(" + margin.left + ", " + margin.top + ")");

var padding = .1;

var x = d3.scaleBand()
    .range([0, width])
    .paddingInner(padding)
    .domain(d3.range(1, rows + 1));

var y = d3.scaleBand()
    .range([0, height])
    .paddingInner(padding)
    .domain(d3.range(1, rows + 1));

var c = chroma.scale(["tomato", "white", "steelblue"])
    .domain([extent[0], 0, extent[1]]);

var x_axis = d3.axisTop(y).tickFormat(function(d, i){ return cols[i]; });
  var y_axis = d3.axisLeft(x).tickFormat(function(d, i){ return cols[i]; });

svg.append("g")
      .attr("class", "x axis")
      .call(x_axis);

svg.append("g")
      .attr("class", "y axis")
      .call(y_axis);

svg.selectAll("rect")
      .data(grid, function(d){ return d.column_a + d.column_b; })
    .enter().append("rect")
      .attr("x", function(d){ return x(d.column); })
      .attr("y", function(d){ return y(d.row); })
      .attr("width", x.bandwidth())
      .attr("height", y.bandwidth())
      .style("fill", function(d){ return c(d.correlation); })
      .style("opacity", 1e-6)
    .transition()
      .style("opacity", 1);

svg.selectAll("rect")

d3.selectAll("rect")
    .on("mouseover", function(d){

d3.select(this).classed("selected", true);

d3.select(".tip")
          .style("display", "block")
          .html(d.column_x + ", " + d.column_y + ": " + d.correlation.toFixed(2));

var row_pos = y(d.row);
      var col_pos = x(d.column);
      var tip_pos = d3.select(".tip").node().getBoundingClientRect();
      var tip_width = tip_pos.width;
      var tip_height = tip_pos.height;
      var grid_pos = d3.select("#grid").node().getBoundingClientRect();
      var grid_left = grid_pos.left;
      var grid_top = grid_pos.top;

var left = grid_left + col_pos + margin.left + (x.bandwidth() / 2) - (tip_width / 2);
      var top = grid_top + row_pos + margin.top - tip_height - 5;

d3.select(".tip")
          .style("left", left + "px")
          .style("top", top + "px");

d3.select(".x.axis .tick:nth-of-type(" + d.column + ") text").classed("selected", true);
      d3.select(".y.axis .tick:nth-of-type(" + d.row + ") text").classed("selected", true);
      d3.select(".x.axis .tick:nth-of-type(" + d.column + ") line").classed("selected", true);
      d3.select(".y.axis .tick:nth-of-type(" + d.row + ") line").classed("selected", true);

})
    .on("mouseout", function(){
      d3.selectAll("rect").classed("selected", false);
      d3.select(".tip").style("display", "none");
      d3.selectAll(".axis .tick text").classed("selected", false);
      d3.selectAll(".axis .tick line").classed("selected", false);
    });

// legend scale
  var legend_top = 15;
  var legend_height = 15;

var legend_svg = d3.select("#legend").append("svg")
      .attr("width", width + margin.left + margin.right)
      .attr("height", legend_height + legend_top)
    .append("g")
      .attr("transform", "translate(" + margin.left + ", " + legend_top + ")");

var defs = legend_svg.append("defs");

var gradient = defs.append("linearGradient")
      .attr("id", "linear-gradient");

legend_svg.append("rect")
      .attr("width", width)
      .attr("height", legend_height)
      .style("fill", "url(#linear-gradient)");

legend_svg.selectAll("text")
      .data(stops)
    .enter().append("text")
      .attr("x", function(d){ return width * d.offset; })
      .attr("dy", -3)
      .style("text-anchor", function(d, i){ return i == 0 ? "start" : i == 1 ? "middle" : "end"; })
      .text(function(d, i){ return d.value.toFixed(2) + (i == 2 ? ">" : ""); })

</script>

</body>
</html>

https://d3js.org/d3.v4.min.js

https://unpkg.com/jeezy@1.12.11/lib/jeezy.min.js

https://unpkg.com/data2grid@1.0.0/build/data2grid.min.js

https://cdnjs.cloudflare.com/ajax/libs/chroma-js/1.3.5/chroma.min.js