Hi there,
Firstly, you would require a scheduled event to trigger the data collection using the API.
Assuming you do not want to process or alter the data that you are pulling from your external source, you can apply an import mapping to create your desired objects (and map the appropriate values).
If you do want to process or alter the data, I would apply an import mapping to create my staging objects and commit them. I would then trigger the processing of the data using a task queue (see the documentation here: Task Queue | Mendix Documentation).
Alternatively, you can use a secondary scheduled event to trigger your processing, where you can retrieve the list of staging entities and then process them - just keep your load in mind, though