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@Martin > That's outdated information; as of rekordbox 5, mechanisms exist to both import (recover) data from an export device, and to play directly from an export USB drive in PERFORMANCE mode. But that's now what he was asking about.
I appreciate your efforts in answering other users' questions here on the forums, but I would ask that you provide concise and accurate answers to their questions, or simply leave them to the support team. Thanks!
@Hypnotoad > You can keep the music on the external source and import them to rekordbox, thus creating an analysis for it, but here's the downside - that analysis doesn't travel with the drive, and as a result, loading them in a CDJ would show only the songs within the FOLDERS. You'd have no ability to browse by artist, track, BPM, etc., also no sorting, searching, hot cues, etc. I recommend that you create a second USB device as an "export" drive and dump all those songs to that drive (so as to not double the amount of space used on the drive when the songs are exported), so you can take advantage of all those additional features when using a CDJ.