Correlation matrix heatmap with multiple datasets

Question

If we have three datasets:

X = pd.DataFrame({"t":[1,2,3,4,5],"A":[34,12,78,84,26], "B":[54,87,35,25,82], "C":[56,78,0,14,13], "D":[0,23,72,56,14], "E":[78,12,31,0,34]})
Y = pd.DataFrame({"t":[1,2,3,4,5],"A":[45,24,65,65,65], "B":[45,87,65,52,12], "C":[98,52,32,32,12], "D":[0,23,1,365,53], "E":[24,12,65,3,65]})
Z = pd.DataFrame({"t":[1,2,3,4,5],"A":[14,96,25,2,25], "B":[47,7,5,58,34], "C":[85,45,65,53,53], "D":[3,35,12,56,236], "E":[68,10,45,46,85]})

Where "t" is an index.

How could one output a correlation matrix heatmap similar to the seaborn example:

Just that the axis would look something like this:

Answer 1

X = pd.DataFrame({"t":[1,2,3,4,5],"A":[34,12,78,84,26], "B":[54,87,35,25,82], "C":[56,78,0,14,13], "D":[0,23,72,56,14], "E":[78,12,31,0,34]})
Y = pd.DataFrame({"t":[1,2,3,4,5],"A":[45,24,65,65,65], "B":[45,87,65,52,12], "C":[98,52,32,32,12], "D":[0,23,1,365,53], "E":[24,12,65,3,65]})
Z = pd.DataFrame({"t":[1,2,3,4,5],"A":[14,96,25,2,25], "B":[47,7,5,58,34], "C":[85,45,65,53,53], "D":[3,35,12,56,236], "E":[68,10,45,46,85]})


catted = pd.concat([d.set_index('t') for d in [X, Y, Z]], axis=1, keys=['X', 'Y', 'Z'])
catted = catted.rename_axis(['Source', 'Column'], axis=1)

corrmat = catted.corr()

f, ax = plt.subplots()

sns.heatmap(corrmat, vmax=.8, square=True)

sources = corrmat.columns.get_level_values(0)
for i, source in enumerate(sources):
    if i and source != sources[i - 1]:
        ax.axhline(len(sources) - i, c="w")
        ax.axvline(i, c="w")
f.tight_layout()

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RESPONSE TO COMMENT:
I changed the t column in each of X, Y, and Z

X = pd.DataFrame({"t":[1,2,3,4,5],"A":[34,12,78,84,26], "B":[54,87,35,25,82], "C":[56,78,0,14,13], "D":[0,23,72,56,14], "E":[78,12,31,0,34]})
Y = pd.DataFrame({"t":[6,7,8,9,10],"A":[45,24,65,65,65], "B":[45,87,65,52,12], "C":[98,52,32,32,12], "D":[0,23,1,365,53], "E":[24,12,65,3,65]})
Z = pd.DataFrame({"t":[11,12,13,14,15],"A":[14,96,25,2,25], "B":[47,7,5,58,34], "C":[85,45,65,53,53], "D":[3,35,12,56,236], "E":[68,10,45,46,85]})


catted = pd.concat([d.set_index('t') for d in [X, Y, Z]], axis=1, keys=['X', 'Y', 'Z'])
catted = catted.rename_axis(['Source', 'Column'], axis=1)

corrmat = catted.corr()

f, ax = plt.subplots()

sns.heatmap(corrmat, vmax=.8, square=True)

sources = corrmat.columns.get_level_values(0)
for i, source in enumerate(sources):
    if i and source != sources[i - 1]:
        ax.axhline(len(sources) - i, c="w")
        ax.axvline(i, c="w")
f.tight_layout()

Now again, but instead I reset_index

X = pd.DataFrame({"t":[1,2,3,4,5],"A":[34,12,78,84,26], "B":[54,87,35,25,82], "C":[56,78,0,14,13], "D":[0,23,72,56,14], "E":[78,12,31,0,34]})
Y = pd.DataFrame({"t":[6,7,8,9,10],"A":[45,24,65,65,65], "B":[45,87,65,52,12], "C":[98,52,32,32,12], "D":[0,23,1,365,53], "E":[24,12,65,3,65]})
Z = pd.DataFrame({"t":[11,12,13,14,15],"A":[14,96,25,2,25], "B":[47,7,5,58,34], "C":[85,45,65,53,53], "D":[3,35,12,56,236], "E":[68,10,45,46,85]})


catted = pd.concat([d.reset_index(drop=True) for d in [X, Y, Z]], axis=1, keys=['X', 'Y', 'Z'])
catted = catted.rename_axis(['Source', 'Column'], axis=1)

corrmat = catted.corr()

f, ax = plt.subplots()

sns.heatmap(corrmat, vmax=.8, square=True)

sources = corrmat.columns.get_level_values(0)
for i, source in enumerate(sources):
    if i and source != sources[i - 1]:
        ax.axhline(len(sources) - i, c="w")
        ax.axvline(i, c="w")
f.tight_layout()