Querying MySQL from an external application

I have a database that I need to query over and over as fast as possible. My queries execute pretty quickly, but there seems to be some additional lag. I have a feeling that this lag is due to the fact that I am initiating and de-initiating a connection the connection each time. Is there a way to avoid this?

I am not using libmysql (at least, not directly). I am using the "mysql50" package in Lazarus/FreePascal (similar to Delphi), which in turn uses libmysql (I think).

The purpose of this library is to pass along a query sent from MQL4 (a propitiatory C-like language for the financial exchange market), and return a single row from my MySQL database (to which it connects through a pipe).

I would really appreciate if someone took a look at my code and pointed out (or maybe even fixed) some inefficiencies.

{$CALLING STDCALL}

library D1Query;

{$mode objfpc}{$H+}

uses
  cmem,
  Windows,
  SysUtils,
  profs_win32exceptiontrap,
  mysql50;

var

  sock: PMYSQL;
  qmysql: st_mysql;

type
  VArray = array[0..100] of Double;
  PArray = ^VArray;


  procedure InitSQL; stdcall;
  begin

    mysql_init(PMySQL(@qmysql));
    sock :=
      mysql_real_connect(PMysql(@qmysql), '.', 'root', 'password', 'data', 3306, 'mysql', CLIENT_MULTI_STATEMENTS);
    if sock = nil then
    begin
      OutputDebugString(PChar('  Couldn''t connect to MySQL.'));
      OutputDebugString(PChar(mysql_error(@qmysql)));
      halt(1);
    end;

  end;

  procedure DeInitSQL; stdcall;
  begin

    mysql_close(sock);
  end;

  function SQL_Query(QRY: PChar; output: PArray): integer; stdcall;
  var
    rowbuf: MYSQL_ROW;
    recbuf: PMYSQL_RES;
    i: integer;
    nfields: LongWord;


  begin
    InitSQL();

    if (mysql_query(sock, QRY) < 0) then
    begin
      OutputDebugString(PChar('  Query failed '));
      OutputDebugString(PChar('   ' + mysql_error(sock)));
    end;

    recbuf := mysql_store_result(sock);
    nfields :=  mysql_num_fields(recbuf);
    rowbuf := mysql_fetch_row(recbuf);


    if (rowbuf <> nil) then
    begin
      for i:=0 to nfields-1 do
          output^[i] := StrToFloatDef(rowbuf[i], -666);
    end;

    mysql_free_result(recbuf);
    DeInitSQL();
    Result := i;


  end;

exports
  SQL_Query,
  InitSQL,
  DeInitSQL;

begin
end.