The cross-database context-dependent Text-to-SQL (XDTS) problem has attracted considerable attention in recent years due to its wide range of potential applications. However, we identify two biases in existing datasets for XDTS: (1) a high proportion of context-independent questions and (2) a high proportion of easy SQL queries. These biases conceal the major challenges in XDTS to some extent. In this work, we present Chase, a large-scale and pragmatic Chinese dataset for XDTS. It consists of 5,459 coherent question sequences (17,940 questions with their SQL queries annotated) over 280 databases, in which only 35% of questions are context-independent, and 28% of SQL queries are easy. We experiment on Chase with three state-of-the-art XDTS approaches. The best approach only achieves an exact match accuracy of 40% over all questions and 16% over all question sequences, indicating that Chase highlights the challenging problems of XDTS. We believe that XDTS can provide fertile soil for addressing the problems.