Peel shrimp, leaving head and tail on. Place barbecue sauce in skillet and set on medium heat. Place shrimp in skillet and cook until they turn pink, approximately 2 minutes on 1 side, and 1 1/2 minutes on the other side. Remove shrimp from skillet and place on plate, pouring any extra sauce from the skillet on top of the shrimp. Drizzle a small amount of horseradish sauce on top of the shrimp and serve.
Place onions in a food processor with the motor running and then add 1/2 cup of orange juice. In a large pot, melt butter on medium heat and add the onion puree. Add the 1 1/2 cups of orange juice and the rest of the ingredients. Stir and cook on low heat for approximately 25 minutes.
Mix all ingredients together in a bowl. Refrigerate until ready to use.
Recipe courtesy John Uglesich, from "Uglesich's Restaurant Cookbook", Pelican, 2004