Magento by default does not support this and in my honest opinion I would not go down the route of doing this with magento. The best way I can see of doing this is the following;
1) Create a custom module with a cron config and model (http://www.magentocommerce.com/wiki/1_-_installation_and_configuration/how_to_setup_a_cron_job).
2) In the model you created and the method you defined in the module config, load your data feed and loop through the items. Either create them in magento if they don't exist or update/enable/disable/remove the product in magento if they do.
You can schedule the cron to run every few hours or more frequently if it's quick enough, well optimised and not too intensive. You can get clever and possibly have ajax stock check on product view page to give live stock on the product page. Or to ensure it is is in stock at time of order you could add an event observer for the checkout_cart_product_add_before and query the live stock to check it's actually there (but you need to create the event - magento did not create it Magento checkout_cart_product_add_before and get number of products added).
This will essentially allow you to keep magento working normally without extensively extending and overriding the core files. You could of course have a separate app altogether (maybe java) which does the same via magento's SOAP API and the the third party api.