CODE EXAMPLE FOR PYTHON

matplotlib custom legends

from matplotlib.lines import Line2D
custom_lines = [Line2D([0], [0], color=cmap(0.), lw=4),
                Line2D([0], [0], color=cmap(.5), lw=4),
                Line2D([0], [0], color=cmap(1.), lw=4)]

fig, ax = plt.subplots()
lines = ax.plot(data)
ax.legend(custom_lines, ['Cold', 'Medium', 'Hot'])