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While there is a considerable literature in science and technology studies (STS) and related fields that has explored the role users and consumers in relation to technologies, rather little is still known about a new cast of actors known as ‘data subjects.’ On the one hand, the job of data subjects is exactly not to have a job and simply ‘be themselves’ as their activities are being recorded, tracked, and analyzed by algorithmic systems. On the other hand, data subjects rarely play the roles assigned to them and have been found actively to ‘appropriate,’ ‘co-construct,’ and ‘work around’ technologies in unexpected ways. In this paper, I would like to move away from an exclusive focus on algorithms, data, and technology to those who have to live with them on a daily basis. Drawing on recent ethnographic fieldwork on web search engines and consumer credit scoring, I shall explore the precarious agency of data subjects in the shadow of the engine. Specifically, I am interested in everyday forms of compliance and resistance on part of data subjects; the rise of optimization as a practice and profession; and the practical challenges faced by different actors in the system.