Preheat oven to 315°F / 160°C degrees.
For the roux, combine oil and flour in an ovenproof sauté pan or a small cast-iron skillet over medium heat. (By ovenproof, this means it doesn't have a wooden or plastic handle.) Stir constantly until the roux is light brown with a nutty smell and turns an almond color, about 10 minutes. You can stop at this point and continue with the recipe. For a dark roux, put into the oven and let cook undisturbed for the first hour. Then carefully stir every half hour afterward until it’s a dark, almost chocolate brown. This will take from 3 to 4 hours. You can do it while doing something riveting, such as watching TV or doing some laundry. Set aside and let cool.
Meanwhile, shell and devein the shrimp. Put the shrimp in the fridge. Combine the shells with the stock and simmer while you prep the vegetables, about 20 minutes.
Heat 2 tablespoons oil in an 8- to 12-quart pot. Cook the onions over medium heat until translucent, then add the celery and green pepper and cook until softened and starting to brown, about 8 to 12 minutes. Then, add the sausage, any proteins you are adding (such as chicken, turkey or beef), tomatoes with their juice (if using), bloody mary mix (if using), hot peppers, garlic, seasonings and bay leave. Strain the stock, tossing the shrimp and add the liquid to the gumbo. Let simmer for about 30 minutes. This would be a good time to start cooking your rice.
Taste. If it needs salt or more seasoning, add it. Stir in one-third of the roux until it’s absorbed in the liquid. Keep adding roux a tablespoon at a time until the gumbo reaches the thickness you're after. Bring to a simmer and add the okra, parsley and shrimp. Cook until the shrimp are bright pink and the gumbo thickens. Finally, stir in the lemon juice, taste and add more salt or seasonings if needed. Serve over hot rice.