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Grilled Shrimp Cocktail

['2 cups ketchup', '2 tablespoons freshly grated horseradish root (see Note)', '2 tablespoons high-quality bottled horseradish', '2 tablespoons freshly squeezed lemon juice', '1 1/2 tablespoons Worcestershire sauce', '1 tablespoon hot sauce', '2 medium shallots, peeled, and grated on a Microplane grater', '8 cups water', '1/4 cup kosher salt', '2 tablespoons granulated sugar', '2 lemons', '4 garlic cloves, peeled, and grated on a Microplane grater', '3 cups ice', '24 (8–12-count) unpeeled shrimp (this means shrimp that come 8 to 12 to a pound)', '1/3 cup canola or vegetable oil', '1/2 cup extra virgin olive oil', 'Juice of 2 lemons', '1/4 cup minced chives', 'Kosher salt', 'Freshly ground coarse black pepper', '2 lemons', 'each cut into 4 wedges for serving']

Stir together all of the cocktail sauce ingredients in a medium bowl and refrigerate for at least 2 hours, but preferably overnight for the flavors to develop.
Combine all of the brine ingredients in a large bowl and stir to dissolve the salt and sugar. Cut the lemons in half, squeeze the juice into the brine, and add the whole lemons as well. Stir in the garlic, followed by the ice.
For each of the shrimp, using a paring knife, cut along the curve of the back of the shrimp, and remove the vein, keeping the shells intact. Clip the feet off with a small pair of scissors.
Place the shrimp in the brine and refrigerate for 1 hour.
Preheat all grates of a well-oiled charcoal or gas grill to medium.
Remove the shrimp from the brine and lightly pat dry with paper towels.
In a bowl, toss the shrimp in the canola oil.
In a separate bowl, combine the olive oil, lemon juice, and chives. Set aside.
Place the shrimp on the grate, close the lid, and grill for 4 minutes. Flip to the second side and grill for 4 minutes.
Remove from the grill and immediately place in the bowl with the olive oil mixture, tossing to coat. Season with salt and pepper and serve with cocktail sauce and lemon wedges on the side.

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