In modern smart grid networks, the traditional power grid is enabled by the technological advances in sensing, measurement, and control devices with two-way communications between the suppliers and customers. The smart grid integration helps the power grid networks to be smarter, but it also increases the risk of adversaries because of the currently obsoleted cyber-infrastructure. Adversaries can easily paralyzes the power facility by misleading the energy management system with injecting false data. In this paper, we proposes a defense strategy to the malicious data injection attack for smart grid state estimation at the control center. The proposed "adaptive CUSUM algorithm", is recursive in nature, and each recursion comprises two inter-leaved stages: Stage 1 introduces the linear unknown parameter solver technique, and Stage 2 applies the multi-thread CUSUM algorithm for quickest change detection. The proposed scheme is able to determine the possible existence of adversary at the control center as quickly as possible without violating the given constraints such as a certain level of detection accuracy and false alarm. The performance of the proposed algorithm is evaluated by both mathematic analysis and numerical simulation.