Is it possible to create an efficient UDF alternative to Excel's CUBEVALUE function?

Question

We'd like to create a simpler alternative to Excel's CUBEVALUE function for retrieving data from an OLAP server. The details aren't critical, but briefly, our function will "know" the source connection and accept a very simple ticker-like parameter and a date, in place of CUBEVALUE's MDX-style parameters. This is for internal use within our firm, just FYI.

However, Excel has optimized CUBEVALUE so that calls to the OLAP server are batched.

Question: Is there a way to code the new function so that it can similarly batch calls rather than issue a separate query for each cell?

Answer 1

Looks like this will be possible starting in Excel 2010. According to http://blogs.msdn.com/excel/archive/2010/01/27/programmability-improvements-in-excel-2010.aspx Excel 2010 adds support for asynchronous UDF's. That's exactly what's needed to mimic the performance of CUBEVALUE.