The process of data factor value and data factor market construction are causally related and correlated with each other. They determine the function of data production factors and the level of digital economy development. This paper proposes to understand and construct the data factor market from the aspects of data value chain participants and their relationship, data value-added process, data product and service type change, data service industry generation, and data management system guarantee. This is done using literature analysis and inductive method based on deconstruction of data value chain. It is concluded that the construction of the data factor market should take into account its various forms. Data service industry and data factor market construction promote each other, and the creativity and consumption power of data factor market players are key to determining the development vitality of the data factor market. The implementation of specific management systems and system lists for data circulation is an important guarantee for the development of the data element market.