Roux: Place the vegetable oil and flour into a heavy oven-safe dish and whisk together to combine. Place on the middle shelf of the oven, uncovered, and bake for 90 minutes, whisking several times throughout the cooking process until roux is a red brick color and smells nutty.
Cajun seasoning: Mix all spices in a mortar or coffee grinder and grind together thoroughly.
Soup: Starting with chicken stock, add all ingredients (except shrimp) to a crock pot set to low. Cook for 4 hours on low stirring occasionally. Add shrimp and cook for about one additional hour until shrimp are pink and firm.