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Yes. You can ingest data from a database via pandas.read_sql() https://pandas.pydata.org/pandas-docs/stable/reference/api/pandas.read_sql.html
You can write via DataFrame.to_parquet()
https://pandas.pydata.org/pandas-docs/stable/reference/api/pandas.DataFrame.to_parquet.html
I am not into azure but either there is a Python library for it our you can use the requests library for calling an API