With the integration of advanced computing and communication technologies, smart grid is considered as the next-generation power system, which promises self healing, resilience, sustainability, and efficiency to the energy critical infrastructure. The smart grid innovation brings enormous challenges and initiatives across both industry and academia, in which the security issue emerges to be a critical concern. In this paper, we present a survey of recent security advances in smart grid, by a data driven approach. Compared with existing related works, our survey is centered around the security vulnerabilities and solutions within the entire lifecycle of smart grid data, which are systematically decomposed into four sequential stages: 1) data generation; 2) data acquisition; 3) data storage; and 4) data processing. Moreover, we further review the security analytics in smart grid, which employs data analytics to ensure smart grid security. Finally, an effort to shed light on potential future research concludes this paper.