Security in the smart grid is a challenge as an increasing number of sensors and measurement devices are connected to the power grid. General purpose security protocols are not suitable for providing data security to devices with limited memory, computational power and network connectivity. In this paper, we develop a secure and light-weight scalable security protocol that allows a power system operator (PO) to collect data from measurement devices (MDs) using data collectors (DCs). The security protocol trades off between computations and device memory requirements and provides flexible association between DC and MDs. These features allow data to be securely transferred from MDs to PO via mobile or untrustworthy DCs. We analyze the complexity and security of the protocol and validate its performance using experiments. Our results confirm that our proposed protocol collects data in a secure, fast and efficient manner.