I've written a VBA wrapper function that parses the string returned
from an RTD server, and then returns an array to Excel. This is the
documented solution from Microsoft (http://support.microsoft.com/kb/
q286258/)

This works. However, the VBA function is being invoked for every cell
selected. This is obviously unnecessary since the function returns
the data for all the cells. This is causing a significant performance
impact.

Does anyone know how this can be solved?

NB: This problem is avoided if the function containing the RTD call
returns a string. You can then call this function to place the
delimited data in a single cell. Then, from an array formula you
reference this cell (e.g. Evaluate(A6)). This works but is obviously
not as user friendly.