Hi,
The approach that you use is fine, but there is also an option to use the Vector series. You can take a look at the following example in our Windows Forms demo application:
All Examples > All Examples > Chart Gallery > Vector > 2D Vector Series
Note that the arrowheads can be removed, so that just plain lines are displayed.
It is possible to either use only one series and assign custom colors for each arrow, or group the lines (by color) into different series. In either case no empty data points will be involved.
Best Regards,
Nevron Support Team