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To achieve the redundancy and failover requirements you've outlined for your two on-premises locations connecting to Azure, you can consider the following recommendations:
- Dual-redundancy active-active mode design
The most reliable design option is to combine the active-active gateways on both your network and Azure, as shown in the following diagram:
In this configuration, you create and set up the Azure VPN gateway in active-active mode. You create two local network gateways and two connections for your two on-premises VPN devices. The result is a full mesh connectivity of four IPsec tunnels between your Azure virtual network and your on-premises network.
Refer: https://learn.microsoft.com/en-us/azure/vpn-gateway/about-active-active-gateways
- Design highly available gateway connectivity for cross-premises and VNet-to-VNet connections
In this article
By implementing active-active VPN connections, using dynamic routing protocols, and ensuring redundancy in your WAN connections, you can achieve the desired redundancy and failover capabilities for your Azure connectivity.
NOTE: Routing between their WAN will be handled by On-Prem, from VPN part these should be the answer.
Hope this clarifies!
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Regards,
Ganesh