Based on this Epicurious recipe.

2/3 cup vegetable oil (add in other fats for extra flavor)
2/3 cup all purpose flour
2 large onions, chopped (about 4 cups)
2 red bell peppers, seeded, chopped (about 2.5 cups)
3 celery stalks, chopped (about 1.5 cups)
6 garlic cloves, chopped
1 teaspoon cayenne pepper
1 teaspoon cajun seasoning mix
1 cup dry white wine
2 T thyme
4 bay leaves
1 14.5-ounce can diced tomatoes with juice (optional, and the subject of much debate over authenticity)
1 8-ounce bottles clam juice
2 cups chicken broth
1 pounds andouille sausage, cut crosswise into 1/2-inch-thick slices
1/2 pound skinless boneless chicken thighs, shredded
1 16-ounce packages sliced frozen okra (optional, I prefer a dark roux and no okra, some prefer okra. File powder can also be used to help thicken, and for taste)
1 pound peeled, de-veined medium shrimp (optional)
Minced fresh Italian parsley for garnish

Make the Roux

Heat oil in heavy 6-quart pot over medium-high heat until very hot and almost smoking. Add flour and stir constantly until mixture is very dark reddish brown or chocolate, reducing the heat as you go -- about 15 minutes.

Add the Trinity

Add 3/4s of the chopped onions, chopped bell peppers, and chopped celery. Cook until onions are soft and brown, stirring frequently, about 20 minutes. Add garlic, cayenne, and cajun seasoning, and stir 2 minutes.

Stock Work

Concurrently, in a large stock pot, bring the chicken stock to simmering. Add in thyme and bay leaves, stirring occasionally. Add tomatoes with juice, clam juice.

When the trinity and roux is ready, add it to the stock and deglaze the cast iron pan with the wine. Add the reduce wine to the stock pot with everything else. Throw in a bit of the sausage to help diffuse some taste into the stew.

Before serving

About 30 minutes before serving, add sausage, chicken, and the rest of the chopped veg; okra if using, about 15 minutes.

Add shrimp to pot and cook shrimp until just opaque in center, stirring often, about 5 minutes. Season gumbo to taste with salt and pepper. Garnish with minced parsley.