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So far, I imported only csv files , is this possible?
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It's not impossible, but neither is it particularly easy. You would need to retrieve the web page's contents using file_get_contents(), and then use PHP string functions with regular expressions to extract the data and build a SQL query.
It's a lot easier if you can get an XML feed of the data. You can then use SimpleXML to extract the data and insert it into your database.