Rage Against the Machine shot a video for their next single, "Sleep Now in the Fire," in New York on Wednesday (Jan. 26), MTV News reported. About 100 people showed up to watch the shoot, which took place in front of Lower Manhattan's Federal Hall, according to MTV. Following the shoot, the rap-rock band and the video's director, Michael Moore, tried to shoot more footage inside the heavily guarded New York Stock Exchange across the street but were not allowed to enter. The band loudly argued with security guards before being turned away, according to MTV News. Moore is best known for directing the documentary "Roger and Me," which focused on the aftermath of the closing of a GM car factory in his native Flint, Mich. Rage's latest album, The Battle of Los Angeles, launches lyrical assaults on targets that include capitalism and the police.