I tend to use an ELT approach for these, calling the REST API with a Web task and storing the JSON in a SQL table and then shredding the JSON using SQL functions like OPENJSON.
Example pipeline:
The key to getting this approach to work is the expression on the stored procedure parameter. This takes the whole JSON output from the Web task and passes it in to the proc. This is a simple logging proc which inserts the record into a logging table:
@string(activity('Web1').output)
I log to a table and then shred the JSON or you could use OPENJSON
directly on the stored proc parameter, eg
--INSERT INTO ...
SELECT
CAST( [key] AS DATE ) AS timeSeriesDate,
JSON_VALUE ( x.[value], '$."1. open"' ) AS [open],
JSON_VALUE ( x.[value], '$."2. high"' ) AS [high],
JSON_VALUE ( x.[value], '$."3. low"' ) AS [low],
JSON_VALUE ( x.[value], '$."4. close"' ) AS [close],
JSON_VALUE ( x.[value], '$."5. volume"' ) AS [volume]
FROM dbo.myLog
CROSS APPLY OPENJSON(logDetails , '$."Time Series (Daily)"' ) x
--WHERE logId = 23333;
My results: