This paper introduces DATA Agent, a system which creates murder mystery adventures from open data. In the game, the player takes on the role of a detective tasked with finding the culprit of a murder. All characters, places, and items in DATA Agent games are generated using open data as source content. The paper discusses the general game design and user interface of DATA Agent, and provides details on the generative algorithms which transform linked data into different game objects. Findings from a user study with 30 participants playing through two games of DATA Agent show that the game is easy and fun to play, and that the mysteries it generates are straightforward to solve.