Am I obliged to share my most promising data?
What does your supervisor say about this?

I've seen situations where someone not sharing data not only prevented papers being written, but completely obliterated the collaboration. 

One possibility is handing the data over, but helping with its analysis and the subsequent writing of the paper (with co-authorship). You could offer the same to the other candidate.

In any case, as you have only just started, I wouldn't worry about the negative impact. There's plenty of time to build.