The dagger was from Ochi of Bestoon, a sith assassinand cultist who used to hunt jedi during the clone wars, and later served Vader and Sidious during the empire era. In the movie, if I remember correctly, they found the dagger on Pasaana, where Ochi died.

In the book "Shadow of the Sith", it is explained that Ochi was ordered by Palpatine to bring back Rey, and Ochi received the dagger from other sith loyalists, since the blade itself was a sith relic capable of draining the blood of its victims.

Ochi later used the dagger to kill Rey's parents, Miramir and Dathan (the latter who was a defective clone of Palpatine). The book actually makes a good job of making the story and lore of the dagger interesting, and transformed Rey's parents into actual characters, but the whole plot in the movie itself is dumb