Data lineage technology is a method of describing the relationships between data, which plays a crucial role in solving many challenges in the data marketplace, such as unauthorized data redistribution, data tampering, and false data transactions. However, the complexity of the multi-chain data marketplace, including factors such as data credibility, trust environment, data ownership, and relationship complexity, poses significant challenges to construct data lineages. To effectively address these challenges, we propose a data lineage construction method for multi-chain data marketplaces. This method mainly involves the following three steps: Firstly, map data assets to Data Non-Fungible Token (DataNFT) and use referable NFT (rNFT) to record data lineage. Secondly, when data assets require cross-chain transfer, the transfer message of DataNFT is broadcasted through the interchain NFT protocol, without the need for actual cross-chain transfer. Finally, we add weights to the data lineage link, enabling us to quickly locate problematic data based on weight sorting during data auditing. We have implemented a system prototype of this method and verified its effectiveness through experiments. The experimental results show that our proposed scheme not only ensures the correctness and completeness of data lineages, but also effectively reduces audit costs.