I'm very happy for the analysis that you guys all provided, thank you very much.
But now I'm not sure what to do, should I keep flying? Contact DJI?
I think a few basic tests are needed first. For example - in a location well away from any potential magnetic interference, power up the aircraft facing a known direction, let it sit for a few minutes to get position etc., then pick it up and rotate it slowly through several rotations, then put it back down facing the original direction. After that, power it off and retrieve the DAT file.