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OK, I will try to add more details.

I'm using Latex (MiKTeX and subset pdflatex).

The problem is the inner \openin\datafile = data/\datatxt

The \indexfile contains a filename for each line.
But, how to open the \datafile ?

e.g.
data\index.txt:
a.txt
b.txt

goal is to open:
\openin\datafile ...

How to replace the macro \datatext before \openin is executed?

\loop{
\read\indexfile to \datatxt
{\bf\datatxt}\par
\advance\cntj by 1
\openin\datafile = data/\datatxt

In general, how to create dynamic filenames with strings, counters, ...?

data_1.txt
data_2.txt

Create a loop with counter ...