combining ofx files

I'm downloading several OFX files using ofx.py from jongsma.  I'd like to combine them together to load them all at once into gnucash.  If I just cat them together I only  get the data from the 1st one.  Is there something I need to modify in the files to make this work?   Or is there a   gnucash or OFX reason why this just won't work?