Put shrimp heads and shells in a large pot and cover with water (about 7 cups). Bring to a boil, then reduce heat to medium and simmer for about 1 hour. (If you don't have shrimp shells, you can use water or shrimp stock in its place.)
Meanwhile, in a large, heavy pot make a dark roux with the oil and flour. Add onions, bell peppers, and celery. Cook, stirring, until wilted. Add bay leaves.
Strain shrimp stock and discard solids. You should have about 4 to 5 cups of shrimp stock. Add enough water to make 6 cups. Add stock to roux mixture and stir to blend. Season to taste with salt and pepper. Bring mixture to a boil, reduce heat to medium-low, and simmer, uncovered, for about 1-1/2 hours, stirring occasionally.
Add halved crabs and simmer for 20 minutes. Add crabmeat and shrimp. Simmer for 10 minutes. Add parsley and stir.
Serve over rice.