IQFeed only returns the millisecs if you set the connection's IQFeed API protocol to 5.0 (see the IQFeed changelog). In certain cases (e.g., CMEGroup and equity markets), if the protocol is 5.2 or higher you may even get microsec resolution in the time fields.
As an alternative, consider using my IQML (IQFeed-Matlab) connector, which uses the latest API protocol by default. IQML enables both synchronous (blocking) and asynchronous (background) queries, that are fetched either serially or in parallel (using the Matlab Parallel Computing Toolbox). A simple usage example:
data = IQML('marketdepth', 'symbol','@ES#');
IQML was developed with top performance, reliability and usability in mind. IQML supports 100% of IQFeed's API functionality. It is fully documented, continuously maintained/improved, and I am happy to provide support.
Note: I am an independent software developer and not a MathWorks employee. Don't get angry at me for bringing an independent alternative to the table...