Hello Jaime Becker,
Thanks for posting your question in the Microsoft Q&A forum.
The best approach to read from MongoDB change streams within Azure and store the events in Data Lake storage would be to use Azure Functions with a custom implementation.
Create an Azure Function App, implement the MongoDB change stream listener in C# or Python.
Use the official MongoDB driver for .NET or Python, connect to your MongoDB instance securely using connection strings stored in Azure Key Vault.
As the function receives change events, process them and convert them to JSON format, use the Azure Data Lake Storage Gen2 SDK to write the JSON files to your Data Lake storage
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