I am trying to run following SQL:
INSERT INTO Suppliers ( [SupplierID], [CompanyName])
Select [SupplierID], [CompanyName] From [AlexDB]..Suppliers
<
Since 2015, this can be done by use of elastic database queries also known as cross database queries.
I created and used this template, it copies 1.5 million rows in 20 minutes:
CREATE MASTER KEY ENCRYPTION BY PASSWORD = '';
CREATE DATABASE SCOPED CREDENTIAL SQL_Credential
WITH IDENTITY = '',
SECRET = '';
CREATE EXTERNAL DATA SOURCE RemoteReferenceData
WITH
(
TYPE=RDBMS,
LOCATION='.database.windows.net',
DATABASE_NAME='',
CREDENTIAL= SQL_Credential
);
CREATE EXTERNAL TABLE [dbo].[source_table] (
[Id] BIGINT NOT NULL,
...
)
WITH
(
DATA_SOURCE = RemoteReferenceData
)
SELECT *
INTO target_table
FROM source_table