Abstract: The traditional electricity market studies are mostly based on the classical and simplified economic models, using the assumption of rational man and idealized game models. It usually causes a large deviation from the analysis results with the real situations. In recent years, with the gradual opening of various types of electricity market data and the rapid development of data-driven analysis methods, the data-driven research on electricity markets has gradually become a hotspot, and a series of theoretical improvements and practical applications have been achieved in this field. To this end, this paper attempts to review the studies on the data-driven research on electricity markets. Firstly, the development status of traditional electricity market research is summarized and its limitations are analyzed. Secondly, the actual information disclosure and data openness policies of different electricity markets around the world are introduced and compared. Thirdly, the current situation of electricity market research using data-driven analysis technology is reviewed. Finally, the key challenges of data-driven electricity market research are summarized and the future research directions and application prospects are outlined.