Dear Valentin, I notice the same problem, and I'm also looking for a solution.
At the moment I have adopted the follow approach with discrete results:
- analogRead in Arduino environment
- Matlab in a while loop, read the data of serial port coming from Arduino
- Arduino print the analog value on the serial port, like:
Serial.print( millis() ); Serial.println( signal1_column )
In this last case, the speed is limited to the serial bus. In this way I reached a sampling of about 1-2kHz (even 3kHz but not very stable).
Note: a nice tip to speed up the serial bus is to increase the BaudRate, probably 9600 is too small! Anyhow you will not reach higher frequency of few kHz.
Anyhow I am not sure that is the best approach.