I noticed from one of the OSQP publications that OSQP uses QDLDL, which is based upon Davis’s simple LDL factorization code.
You may see a performance improvement from using Catamari’s BSD-licensed supernodal LDL^T / LDL^H / Cholesky factorization:
It was actually designed for use in a homogeneous self-dual embedded QP solver (https://gitlab.com/hodge_star/conic) and also supports fast double-double arithmetic. Currently said solver is using Fourer-style entry equilibration rather than Ruiz, which is causing problems on some of the poorly-scaled Maros/Meszaros tests (e.g., ksip), but this should be fixed soon.
The code is C++14 and header-only but the meson build system can detect MKL or another BLAS if you have it.