Taking its lead from Ian Hacking’s article ‘How should we do the history of statistics?’, this article reflects on how we might develop a sociologically informed history of Big Data. It argues that within the history of social statistics we have a relatively well developed history of the material phenomenon of Big Data. Yet this article argues that we now need to take the concept of ‘Big Data’ seriously, there is a pressing need to explore the type of work that is being done by that concept. The article suggests a programme for work that explores the emergence of the concept of Big Data so as to track the institutional, organisational, political and everyday adoption of this term. It argues that the term Big Data has the effect of making-up data and, as such, is powerful in framing our understanding of those data and the possibilities that they afford.