If you are on Windows, only Direct3D10 is available for the GPU engine. If you are on MacOS or Linux, only OpenGL is available.
Anyway, the Direct3D10 version of the engine is the fastest we currently have (and it should be faster than the CPU engine, unless you have an awful lot of CPU cores or a very low end GPU).
What GPU model are you using it with ? If you have both a discrete and an integrated GPU (e.g. on a laptop), make sure you are using the discrete GPU. Which GPU is used can be set for each application using your GPU vendor's control panel.