With the prevalence of live broadcast business nowadays, a new type of recommendation service, called live broadcast recommendation, is widely used in many mobile e-commerce Apps. Different from classical item recommendation, live broadcast recommendation is to automatically recommend user anchors instead of items considering the interactions among triple-objects (i.e., users, anchors, items) rather than binary interactions between users and items. Existing methods based on binary objects, ranging from early matrix factorization to recently emerged deep learning, obtain objects' embeddings by mapping from pre-existing features. Directly applying these techniques would lead to limited performance, as they are failing to encode collaborative signals among triple-objects. In this paper, we propose a novel TWo-side Interactive NetworkS (TWINS) for live broadcast recommendation. In order to fully use both static and dynamic information on user and anchor sides, we combine a product-based neural network with a recurrent neural network to learn the embedding of each object. In addition, instead of directly measuring the similarity, TWINS effectively injects the collaborative effects into the embedding process in an explicit manner by modeling interactive patterns between the user's browsing history and the anchor's broadcast history in both item and anchor aspects. Furthermore, we design a novel co-retrieval technique to select key items among massive historic records efficiently. Offline experiments on real large-scale data show the superior performance of the proposed TWINS, compared to representative methods; and further results of online experiments on Diantao App show that TWINS gains average performance improvement of around 8% on ACTR metric, 3% on UCTR metric, 3.5% on UCVR metric.