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I use the same OpenID to log onto SO sites. When I log in to http://stackoverflow.com, and then navigate to other site such as http://meta.stackoverflow.com, it recognizes the same OpenID.
But when I open http://data.stackexchange.com, it shows login link on the top bar, I'm required to enter the same login credentials aagain. Why is this behavior with http://data.stackexchange.com?
Data.SE is based on an entirely separate open source code base. This is different from the SE Network which is built on a proprietary code base.
Hence, your login data and account credentials are not shared between the two sites.