Plotly scatter matrix with color showing density

Is it possible to do a scatter matrix plot with Plotly in which the color shows the density like this (not Plotly)?

enter image description here

I would like to have the functionality of the px.scatter_matrix function, i.e. that the axes are shared, and also a similar interface if possible. I cannot find such thing.

If it is not a scatter plot with individual points but a collection of 2D histograms that would also work.


Just in case anyone else comes here from Google interested in the β€œcolor showing density” part:

import numpy as np
from scipy import stats
import as px

def get_density(x:np.ndarray, y:np.ndarray):
    """Get kernal density estimate for each (x, y) point."""
    values = np.vstack([x, y])
    kernel = stats.gaussian_kde(values)
    density = kernel(values)
    return density

# generate some interesting data
def measure(n):
    "Measurement model, return two coupled measurements."
    m1 = np.random.normal(size=n)
    m2 = np.random.normal(scale=0.5, size=n)
    return m1+m2, m1-m2

m1, m2 = measure(2000)
d = get_density(m1, m2)
fig = px.scatter(x=m1, y=m2, color=d, )
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