How to compare two files quickly?

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I need to be able to compare the two coordinates (the 2nd and 3rd word in a line) to see where they overlap. Now, my code does it, but it does it very slow. So far for a file with 10000 lines my code takes about two minutes. I need to use it for a file with 3 billion lines, which I estimate will take forever. Is there a way to refactor my code to be so much faster?

So far I can do exactly what I want. Which is this:

import os.path
with open("Output.txt", "w") as result:
  with open("bedgraph2.txt") as file1:
    for f1_line in file1:
      segment_1 = f1_line.split()
      with open("bedgraph1.txt") as file2:
        for f2_line in file2:
          segment_2 = f2_line.split()
          if (int(segment_1[2]) > int(segment_2[1])) & (int(segment_1[1]) < int(segment_2[2])):
            with open("Output.txt", "a") as add:
              add.write(segment_1[0])
              add.write(" ")
              add.write(segment_1[1])
              add.write(" ")
              add.write(segment_1[2])
              add.write(" ")
              add.write(segment_1[3])
              add.write(" | ")
              add.write(segment_2[0])
              add.write(" ")
              add.write(segment_2[1])
              add.write(" ")
              add.write(segment_2[2])
              add.write(" ")
              add.write(segment_2[3])
              add.write("\n")
            break

print "done"

This is a sample of the data

bedgraph2.txt
chr01   1780    1795    -0.811494
chr01   1795    1809    -1.622988
chr01   1809    1829    -2.434482
chr01   1829    1830    -3.245976
chr01   1830    1845    -2.434482
chr01   1845    1859    -1.622988
chr01   1859    1879    -0.811494
chr01   1934    1984    -0.811494
chr01   3550    3600    -0.811494
chr01   3790    3840    -0.811494
chr01   3882    3902    -0.811494
chr01   3902    3932    -1.622988


bedgraph1.txt
chr01   1809    1859    -1.139687
chr01   1965    2015    -1.139687
chr01   3790    3840    -1.139687
chr01   3930    3942    -1.139687
chr01   3942    3980    -2.279375
chr01   3980    3992    -1.139687
chr01   4260    4310    -1.139687
chr01   4361    4382    -1.139687
chr01   4382    4411    -2.279375
chr01   4411    4432    -1.139687
chr01   4473    4523    -1.139687
chr01   4605    4655    -1.139687

Thanks in advance

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Vince On BEST ANSWER

I suggest to use bedtools:

http://bedtools.readthedocs.org/en/latest/

Intersect function likely does what you want.

Also, using bedtools or not, algorithm can be improved by first sorting the two input files.