I'm trying to find a spatial index structure suitable for a particular problem : using a union-find data structure, I want to connect\associate points that are within a certain range of each other. I have a lot of points and I'm trying to optimize an existing solution by using a better spatial index.
Right now, I'm using a simple 2D grid indexing each square of width [threshold distance] of my point map, and I look for potential unions by searching for points in adjacent squares in the grid.
Then I compute the squared Euclidean distance to the adjacent cells combinations, which I compare to my squared threshold, and I use the union-find structure (optimized using path compression and etc.) to build groups of points.
Here is some illustration of the method. The single black points actually represent the set of points that belong to a cell of the grid, and the outgoing colored arrows represent the actual distance comparisons with the outside points.

(I'm also checking for potential connected points that belong to the same cells).
By using this pattern I make sure I'm not doing any distance comparison twice by using a proper "neighbor cell" pattern that doesn't overlap with already tested stuff when I iterate over the grid cells.
Issue is : this approach is not even close to being fast enough, and I'm trying to replace the "spatial grid index" method with something that could maybe be faster.
I've looked into quadtrees as a suitable spatial index for this problem, but I don't think it is suitable to solve it (I don't see any way of performing repeated "neighbours" checks for a particular cell more effectively using a quadtree), but maybe I'm wrong on that.
Therefore, I'm looking for a better algorithm\data structure to effectively index my points and query them for proximity.
Thanks in advance.