To use Azure Storage as Thanos object store, you need to precreate a storage account from Azure portal or using Azure CLI. Follow the instructions from the Azure Storage Documentation.
Now create a .YAML file named object-store.yaml with the following format:
type:AZUREconfig:storage_account:""storage_account_key:""container:""# config.endpoint is only needed if primary blob service endpoint domain is not blob.core.windows.net# Example: blob.core.chinacloudapi.cnendpoint:""max_retries:0