According to the construction experience of advanced power market at home and abroad, a high-level operation of the power market is inseparable from the strong support of market data system construction. The data of power market is intertwined, interacted and iterated, so the data interconnection scenario is complex and cross. From the service perspective of the trading center, this paper designs a multi-scenario interconnected power market operation state evaluation index system based on data mining. This paper investigates and analyzes the index demand of related parties in the power trading center, and determines the four main objectives of the power market index system design based on the perspective of service. In order to achieve the goal, five design principles of electricity market index system are proposed. According to the detailed data index system, the overall framework of five categories of indicators including energy economy, power system operation, power trading, power market management and trading center management is established. In addition, this paper proposes to join the regulatory cloud resource management and control, which can get automatic support in emergency time and meet the specification. This paper studies the establishment of data index system of power market, which can serve the construction of power market.