Getting the middle iterates in addition to the final solution

I am not sure that approach will work in practice. For instance if you have presolve in front, then postsolve typically only works on optimal solution. I also assume CVX does some conversion on the reported solution which of course works if an optimal solution is given but if the solution is only near feasible.

In other words stopping the solve prematurely may lead to solution with no meaning. Therefore be very careful.