hexbin(x, y, C)

See hexbin.

import matplotlib.pyplot as plt
import numpy as np

plt.style.use('_mpl-gallery-nogrid')

# make data: correlated + noise
np.random.seed(1)
x = np.random.randn(5000)
y = 1.2 * x + np.random.randn(5000) / 3

# plot:
fig, ax = plt.subplots()

ax.hexbin(x, y, gridsize=20)

ax.set(xlim=(-2, 2), ylim=(-3, 3))

plt.show()