Note that this script is obsolete after the tags created as documented in Use Azure Firewall to protect Office 365.
The script o365_rules.py downloads the JSON in https://endpoints.office.com/endpoints/worldwide?clientrequestid=b10c5ed1-bad1-445f-b386-b919946339a7 and generates an ARM template for an Azure Firewall Policy that can be imported to Azure:
# Explore the available flags and options
python3 ./o365_rules.py --help
# Run in test mode
python3 ./o365_rules.py --format none --verbose
# Generate ARM template
python3 ./o365_rules.py >o365sample.json
# Deploy ARM Template
rg=myrg
location=westeurope
az group create -n $rg -l $location
az deployment group create -n o365$RANDOM -g $rg -o none --template-file ./o365sample.json