Multi Threaded

Excel 2007 was the first version that was multi-threaded.
The challenge here is still the user being locked out during recalculation.
When the background thread has completed, it needs to return the results back to Excel.
There are a number of approaches that can be used to achieve this

Volatile + Cache + SendInput

This triggers n F9 to handle the recalc.
When you press F2 + Enter if the inputs have not changed, it is pulled from the cache.
If the inputs have changed it will fire a new HTTP request.
The F9 will always be fired, but all the other values will just be returned from the cache and will not refresh.

xlAsyncReturn

The function registers with an async handle.
Background thread calls xlAsyncResult when done.
Excel handles the recalc automatically.
This type of function registration is disabled in a lot of Desktop Enterprise environments.

Real Time Data

Designed for streaming live data.
Needs C++ ATL as well s COM registration.

xlcOnTime

Schedules a macro/command to run at a specific time on the Excel main thread