In this paper we explore the design of a design fiction as an iterative process of interweaving storytelling and world building. With the design fiction Data Economy, we present how we have imagined and externalized a data obsessed future through a protagonist, narratives, plots and diegetic prototypes; this includes the short stories Memoirs of Jesse, the short film Data Economy and a number of designed objects. Data Economy explores how far people are willing to go to satisfy their individualistic hunger to consume by creating a tension between consumerism and data collection. By analyzing the design fiction, we discuss social and ethical issues of data privacy. With a focus on narratives, plots, protagonists and diegetic prototypes, we argue that the designerly potential of design fiction lies in its ability to interweave the literary methods of storytelling with the designerly methods of world building.