In recent years, the development of Fintech technology has promoted the digital transformation of commercial banks. Open banking and open banking ecosystem have emerged with the development of this process. Open banking ecosystem is an open and shared Fintech ecosystem with data sharing as the core. This article explores how to establish an open banking ecosystem from the perspective of data sharing. It also analyzes the theoretical framework from the perspectives of information asymmetry, long-tail theory, transaction cost theory, and production factor theory. Aiming at problems such as “data island”, data ownership, data sharing supervision, and externality of data sharing, the research elaborates the challenges and obstacles in the procedure of open banking ecosystem construction. This article also illustrates the paradigm of open banking ecosystem construction and provides some examples and policy suggestions.