Single SetForeign call is equivalent to multiple Foreign calls. Check out here.
Also check out fixup parameter
fixup parameter controls if data holes are filled with previous bar data or not.
0 - the holes are not fixed
1 - default value - missing data bar OHLC fields are all filled using previous bar Close and volume is set to zero.
2 - (old pre-4.90 behaviour) - causes filling the holes in the data with previous O, H, L, C, V values
If you insert code then please read here for getting guidance.