How To Make A Forex Correlation Heatmap

How to make a forex correlation heatmap

How to make a forex correlation heatmap

I want to represent correlation matrix using a heatmap. There is something called correlogram in R, but I don't think there's such a thing in Python.

How can I do this?

The values go from -1 to 1, for example:

I was able to produce the following heatmap based on another question, but the problem is that my values get 'cut' at 0, so I would like to have a map which goes from blue(-1) to red(1), or something like that, but here values below 0 are not presented in an adequate way.

Here's the code for that:

Currency heatmap indicator for MT4 in action