Julie Koesmarno walks through Extended Events in Azure SQL Database (currently in preview):
Extended Event (XEvent) feature is available as public preview in Azure SQL Database as announcedhere. XEvent supports 3 types of targets – File Target (writes to Azure Blob Storage), Ring Buffer and Event Counter. Once we’ve created an event session, how do we inspect the event session target properties? This blog post describes how to do this in 2 ways: using the User Interface in SSMS and using T-SQL.
It’s nice to see Extended Events making their way into Azure SQL Database.