For anyone interested, the IQML (IQFeed-Matlab) connector was specifically designed for top performance, including parallel and asynchronous (background) queries.
Here is a simple usage example that uses parallel history queries for 4 symbols (requires Parallel Computing Toolbox):
data = IQML('history', 'symbol','IBM,AAPL,MSFT,GOOG', 'UseParallel',true);