Fix large difference between Data enum variants

[twitu]

Pull Request

The data enum has the orderbook depth variant which is significantly larger than other variants bloating memory footprint of all other variants. Boxing orderbook depth minimizes its footprint with minimal changes.

Type of change

• Bug fix (non-breaking change which fixes an issue)

How has this change been tested?

    #[rstest]
    pub fn test_load_deltas_memory_usage() {
        use nautilus_model::data::Data;
        use procfs::page_size;
        use procfs::process::Process;

        let page_size = page_size();
        let me = Process::myself().unwrap();
        let setup_mem = me.stat().unwrap().rss * page_size / 1024;

        let before = me.stat().unwrap().rss * page_size / 1024 - setup_mem;

        let filepath = "/home/twitu/Code/nautilus_trader/tests/test_data/large/tardis_deribit_incremental_book_L2_2020-04-01_BTC-PERPETUAL.csv.gz";
        let instrument_id = InstrumentId::from("BTC-PERPETUAL.DERIBIT");
        let deltas = load_deltas(filepath, 1, 0, Some(instrument_id), Some(1_000_000)).unwrap();

        // TODO: Wrapping as enum explodes the memory
        let deltas: Vec<Data> = deltas.into_iter().map(Data::Delta).collect();

        assert_eq!(deltas.len(), 1_000_000);

        let after = me.stat().unwrap().rss * page_size / 1024 - setup_mem;
        println!("Memory allocated: {} KB", after - before);
    }

Before the change this test shows 10x increase in delta size.
1M deltas -> 103 MB
1M deltas (wrapped with Data) -> 1 GB

After the change
1M deltas -> 103 MB
1M deltas (wrapped with Data boxed Orderbook depth) -> 160 MB