Pulling data from api to excel from a big database - json

Question

Im using an API to pull data to Excel and JSON parsing to format the data. I have 2 sites from where to get this data. 1 is smaller database with 3000 lines but the other is bigger with hunderds of thousands. Working with the smaller one I get no error and everything works fine but using the same code on bigger database everything juts kind of crashes/hangs up forever.
Code I'm using is surely very faulty and I was told I'm using too many parsings but I'm new to this so can't really figure it out right now.
Code I'm using:
Option Explicit
Sub Times()
Dim sJSONString As String
Dim vJSON
Dim sState As String
Dim aData()
Dim aHeader()
Dim vResult
Dim sName
Dim authKey As String
authKey = "my_auth_key"
With CreateObject("MSXML2.XMLHTTP")
.Open "GET", "https://my_site_url", True
.SetRequestHeader "Authorization", "Bearer " & authKey
.send
Do Until .readyState = 4: DoEvents: Loop
sJSONString = .responseText
End With
JSON.Parse sJSONString, vJSON, sState
If sState = "Error" Then
MsgBox "Invalid JSON"
End
End If
vResult = vJSON("data")
JSON.ToArray vResult, aData, aHeader
With ThisWorkbook.Sheets(1)
.Cells.Delete
.Cells.WrapText = False
OutputArray .Cells(1, 1), aHeader
Output2DArray .Cells(2, 1), aData
.Columns.AutoFit
End With
vJSON.Remove "data"
Application.DisplayAlerts = False
With ThisWorkbook.Sheets
Do Until .Count = 1
.Item(.Count).Delete
Loop
End With
Application.DisplayAlerts = True
For Each sName In vJSON
If IsArray(vJSON(sName)) Or IsObject(vJSON(sName)) Then
JSON.ToArray vJSON(sName), aData, aHeader
With ThisWorkbook.Sheets.Add
OutputArray .Cells(1, 1), aHeader
Output2DArray .Cells(2, 1), aData
.Columns.AutoFit
End With
vJSON.Remove sName
End If
Next
JSON.ToArray vJSON, aData, aHeader
JSON.Parse sJSONString, vJSON, sState
JSON.Flatten vJSON, vResult
JSON.ToArray vResult, aData, aHeader
MsgBox "Completed"
End Sub
Sub OutputArray(oDstRng As Range, aCells As Variant)
With oDstRng
.Parent.Select
With .Resize(1, UBound(aCells) - LBound(aCells) + 1)
.NumberFormat = "#"
.Value = aCells
End With
End With
End Sub
Sub Output2DArray(oDstRng As Range, aCells As Variant)
With oDstRng
.Parent.Select
With .Resize( _
UBound(aCells, 1) - LBound(aCells, 1) + 1, _
UBound(aCells, 2) - LBound(aCells, 2) + 1)
.NumberFormat = "#"
.Value = aCells
End With
End With
End Sub
Maybe by simplifying and correcting the code my bigger database macro would work as well.