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As a significant application of energy, smart grid is a complicated interconnected power grid that involves sensors, deployment strategies, smart meters, and real-time data processing. It continuously generates data with large volume, high velocity, and diverse variety. In this paper, we first give a brief introduction on big data, smart grid, and big data application in the smart grid scenario. Then, recent studies and developments are summarized in the context of integrated architecture and key enabling technologies. Meanwhile, security issues are specifically addressed. Finally, we introduce several typical big data applications and point out future challenges in the energy domain.