Hi Brock
Thanks a lot for your reply 
I have one FACT table and various dimension tables. I have created one query to do inner join with dimensions tables to finally generating the data with required columns.
I am using this query to fetch the data in R. There is no filter which we can apply as we have to load entire year data.
library(dbplyr)
library(DBI)
library(dplyr)
library(magrittr)
library(RODBC)
con <- DBI::dbConnect(odbc::odbc(),
Driver = "SQL Server",
Server = "xyz",
Database = "xyz",
UID = "xyz",
PWD = "xyz",
Port = xyz)
dbGetQuery(con,'Query')
This is something which I have created till now. But the problem is this query is time consuming because of many joins and volume of data.
So was confused how should I approach it