Good luck with your data science path. I would like to quickly summarize my path to data science from academia, hoping it will give you some positive feelings about your decision :). I was an asst prof, very happy and content with the job. However, I had to move due to family reasons, and since you cannot randomly move and land in another such dream-job, I looked for data science positions in the industry. I had a stressful period of preparing for teaching during a busy semester, doing own research, mentoring students AND preparing for job interviews, practicing programming questions etc. Finally, I joined in a software firm once the semester ended, and guess what? I seem to love it as much as I loved my prof job! So, yeah, eventually, things may work out well too. All the best.