what is the way to have an always running process on azure? on windows it is windows service, but do i have to get a virtual machine just to have a single running process? I
There is no specific way to run your code in Azure. You have lots of choices, and which you choose is really up to you (and a matter of opinion). But, objectively speaking:
I see that @Neil suggested Service Fabric in his answer. That works too, except you'll need to learn about Service Fabric in general, since it works a bit differently.
You should look at continuously-running web jobs. See Running Background tasks with WebJobs on Microsoft Azure.
Other choices are PaaS cloud services worker roles and Azure Service Fabric reliable services - but these are likely overkill if you just want a basic service.
Azure function is a good candidate for migrating windows services into something cloud based. Azure function can be triggered by a timer and so like a windows service can be scheduled at a certain time of the day for example.
Please give a read to my notes that I wrote while I worked on such a migration:
https://dumanhilltechnologies.com/blog/windows-service-migration-to-azure-function/