Data steers the digitalized economy. The transformation of data into valuable information is somewhat comparable with traditional research and development activities and has become one of the most valuable intangibles for many companies. The knowledge discovery method in databases, known as “data mining”, needs to be studied conceptually to demonstrate that the arm’s length principle cannot effectively allocate profits to jurisdictions. Nevertheless, much effort has been put into OECD’s Pillar One, but is it indeed ready to deal with the big data economy? To answer this question, the author briefly introduces the evolution of transfer pricing and presents that the dichotomy between the arm’s length principle comparability completeness and the formulaic apportionment simplicity were merged to create a more robust system to tackle the challenges of the digitalization and lack of physical presence. In a data-driven economy, it is essential to understand the steps involved in the value creation of data. The purpose of the present study is to meticulously delineate the value chain of big data, including collection, processing and analysis and monetization of the data. In conclusion, the author suggests a framework that effectively allocates profits in accordance with the value creation of data.