As a future energy system, the smart grid is designed to improve the efficiency of traditional power systems while providing more stable and reliable services. However, this efficient and reliable service relies on collecting and analyzing users' electricity consumption data frequently, which induces various secucity and privacy threats. To address these challenges, we propose a double-blockchain assisted secure and anonymous data aggregation scheme for fog-enabled smart grid named DA-SADA. Specifically, we design a three-tier architecture-based data aggregation framework by integrating fog computing and the blockchain, which provides strong support for achieving efficient and secure data collection in smart grids.Subsequently, we develop a secure and anonymous data aggregation mechanism with low computational overhead by jointly leveraging the Paillier encryption, batch aggregation signature and anonymous authentication. In particular, the system achieves fine-grained data aggregation and provides effective support for power dispatching and price adjustment by the designed double-blockchain and two-level data aggregation. Finally, the superiority of the proposed scheme is illustrated by a series of security and computation cost analyses.