I can use the Management studio to connect directly to my Azure SQL database and execute this query:
select * from DB.dbo.DSeries where instrument='name1'
and it works really fast. But if I create a linked server (called "WF") in my local server that connects to Azure and try to execute the same query,
select * from WF.DB.dbo.DSeries where instrument='name1'
The query is really slow. Why could that be happening?