Running multiple companies in one payroll - Would JDE output a direct deposit file for each company?

Has anyone had experience running multiple companies in one payroll?  We currently do this on our paydays for special runs but we make the employee's receive cheques vs. a direct deposit.  The cheques are produced properly for each company.  We find we are unable to do this for direct deposit as only one file is created.  JDE picks the first company in numerical order to produce the bank file under.