Right now we do not allow categories within categories, as this tends to make analysis very difficult. What we recommend instead is to separate the levels into different studies.
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Therefore, if you already define what the main categories are through the use of a larger general open sort, then you can simply create a sort for the items within each category and the resulting categories would then be the sub categories in the menu structure.

Each higher level category would then get its own study. It keeps the resulting data segmented for easier analysis than throwing everything in together.