Take a look at this page:
https://msdn.microsoft.com/en-us/library/cc645993(v=SQL.110).aspx
Under the heading
Integration Services
You will see that Express with Advanced Services has:
- SQL Server Import and Export Wizard
- Integrated data source connectors
But he doesn’t
- SSIS Designer and Runtime
Thus, the answer is no: the advanced services expression does not have the full version of SSIS, so you will not see it in the installation checkbox. It has an import / export wizard
SQL Server 2016 Development is free and comes with SSIS
To transfer data from Azure to a local excel file, I can think of three options from the top of my head:
Manually run the selection query in SQL Server Management Studio, and then copy the table into Excel. Or you can right click / Save Results as CSV
You can use the import / export wizard when installing SQL Express locally to retrieve data from an Azure instance. I have never tried though
If you want to automate it, you can use SQLCMD to export the CSV file as well
Next question: why are you exporting it? If this is for analysis, you might be better off serving SQL queries. If this is for reporting, again you might be better served with SQL queries or any SSRS bits set using SQL Server Express Advanced
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