This is currently not possible. You will only get websockets when Azure (cloud services or websites) supports .NET 4.5 on Windows Server 2012 (IIS8), which is not the case now.
Today, .NET 4.5 is only available on websites running Windows Server 2008 R2 (IIS7).
Note. . Technically, you can use other solutions (unlike IIS) to get web connections in your Azure application (e.g. Pokein , SuperSocket , ...)
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