Considering the data sharing difficulties and the risk of privacy disclosure in grid cloud server based on blockchain, a Data Sharing model based on Double Consortium Blockchains in smart grid(DSDCB) was proposed. Firstly, the data of electricity was stored under-chain by Inter Planetary File System(IPFS), the IPFS file fingerprints were stored on-chain, and the electricity data was shared to other consortium blockchain based on the multi-signature notary technology. Secondly, with ensuring privacy from leakage, proxy re-encryption and secure multi-party computing were combined to share single-node or multi-node security data. Finally, fully homomorphic encryption algorithm was used to integrate ciphertext data reasonably without decrypting the electricity data. The 51% attack, sybil attack, replay attack and man-in-the-middle attacks were resisted by the single-node cross-chain data sharing model of DSDCB. It was verified that the security and privacy of data were guaranteed by the secure multi-party cross-chain data sharing model of DSDCB when the number of malicious participants was less than k and the number of honest participants was more than 1. The simulation comparison shows that the computational cost of the DSDCB model is lower than those of Proxy Broadcast Re-Encryption(PBRE) and Data Sharing scheme based on Conditional PBRE(CPBRE-DS), and the model is more feasible than the Fully Homomorphic Non-interactive Verifiable Secret Sharing(FHNVSS) scheme.