It's definitely possible, but possibly not at the point of downloading the feed from an affiliate network. Different merchants will identify sale items in different ways. E.g. some will have the items in a 'sale' category. Other's will have a 'was' price. Some will give you no indication at all that an item is on sale, so you would have to compare the price now with the price previously to know whether it is on sale.
Overall, it is not a simple task, even though it should be.