The best way to solve this is with a tree implementation. As Rishav mentioned, you're repeating a lot of work here. Ideally, this should be implemented as a tree-based FSM. Imagine the following example:
Large String: 'The cat sat on the mat, it was great'
Small Strings: ['cat', 'sat', 'ca']
Then imagine a tree where each level is an additional letter.
small_lookup = {
'c':
['a', {
'a': ['t']
}], {
's':
['at']
}
}
Apologies for the gross formatting, but I think it's helpful to map back to a python data structure directly. You can build a tree where the top level entries are the starting letters, and they map to the list of potential final substrings that could be completed. If you hit something that is a list element and has nothing more nested beneath you've hit a leaf and you know that you've hit the first instance of that substring.
Holding that tree in memory is a little hefty, but if you've only got a million string this should be the most efficient implementation. You should also make sure that you trim the tree as you find the first instance of words.
For those of you with CS chops, or if you want to learn more about this approach, it's a simplified version of the Aho-Corasick string matching algorithm.
If you're interested in learning more about these approaches there are three main algorithms used in practice:
There are domains in which all of these algorithms will outperform the others, but based on the fact that you've got a very high number of sub-strings that you're searching and there's likely a lot of overlap between them I would bet that Aho-Corasick is going to give you significantly better performance than the other two methods as it avoid the O(mn)
worst-case scenario
There is also a great python library that implements the Aho-Corasick
algorithm found here that should allow you to avoid writing the gross implementation details yourself.