I need to encrypt large dataset files that may be in gigbytes of size. I can perform compression task on the dataset too. Which will be a good algorithm to use that is fast enough as well as secure enough?
Depends on what you're trying to secure it from. I would say that, generally speaking, AES-128 is a good compromise between fast and strong, and there's a lot of hardware support for AES available, which helps to speed it up.
I assume you're not trying to protect it from a state actor or someone with similar resources who want to gain access to your data? If so, you might want to consider longer key sizes and/or chaining other encryption algorithms.