1. For the sauce, put ketchup, horseradish, lemon juice, worcestershire sauce, Tabasco, and a pinch of salt into a medium bowl and stir well. Cover and refrigerate.
2. Put wine, black peppercorns, thyme, parsley, onions, celery, bay leaf, and 2 quarts water into a large pot. Season the liquid generously with salt and bring to a boil. Reduce heat to medium-low and simmer for 30 minutes.
3. Add shrimp, and cook, stirring occasionally, until just cooked through, 2–3 minutes. Drain shrimp and transfer to a sheet pan and spread into a single layer; let cool to room temperature. Refrigerate shrimp until completely chilled, then peel them. Divide cocktail sauce between 4 cocktail glasses and perch 4 shrimp along the rim of each glass.