Click on the project you would like to add the source file to, and then navigate to the "Settings" tab.
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Next to "Source File" panel hit on "Connect Data Source".
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Paste in URL of your source file (f.ex. product feed that you use for Facebook Ads).
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Hit "Connect".
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Once your source file has connected to your project, on the next page click "Finish" and it's all ready to go. You have successfully connected the source file to your project!