Question: I have used Gurobi and cplex for solving large scale LP problems with Pyomo. However, I do need to use open source solver. Any advise?
glpk and cbc seems to be very slow in solving the problem (with 2e6 variables)

Answer: 
There is a new open source solver that looks quite promising, HiGHS:

<https://www.maths.ed.ac.uk/hall/HiGHS/>

But as pointed out by others, for mixed-integer programming problems, at the moment, open-source solvers can't compete on performance and reliability with commercial solvers.
If you mean by LP is referred to the linear programming (not mixed-integer linear programming), there are some open-source solvers like SoPlex and Clp which can be linked with Pyomo via Neos server but, I really do not know is there any way to connect those locally. If you meant is the mixed-integer linear programming one of the best options is SCIP, but as far as I know it's not quite free at all.