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Slow initial linked server query

We have built a .Net application that queries a single Salesforce Opportunity using the ID key. This is a regular TSQL query using the DBAmp linked server. No joins or functions. The first time it is run it can take up to 15 seconds to receive a response. However, if we run it repeatedly, the subsequent responses are almost immediate. Why would the initial query take so long? Is there some initial setup or caching taking place? If I duplicate this using SSMS the same think happens. Any ideas? Thanks.
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