Don't worry I'll probably still be using nested loops as they also alow you to quickly iterate only through portion of your while data.
Since the threads question was "How to implement such feature" I went and do a litle research (I have nevere used Enumerations before) and build myself a litle demo to see how hard it is to implement Enumerators and what performance I can get out of them.
And of course I shared my findings with you guys so you won't have to do all this by yourselves.
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