Prepare grill for direct cooking using lump charcoal.
Rinse and dry peeled and deveined shrimp and place them onto skewers. If wood skewers, be sure to soak them first for at least an hour in water. Season shrimp with dry rub on both sides.
Place shrimp on the grill over direct heat when the charcoal ready, and cook for four minutes per side or until the internal temperature of the shrimp reads 120 degrees Fahrenheit using an instant read thermometer. Concurrently place lime over direct heat, flesh side down, for 8 - 10 minutes or until grill marks appear. Use half of lime to squeeze over the grilled shrimp when they are finished. Use the other half for the sriracha cocktail sauce.
Sriracha Cocktail Sauce
In a small bowl mix ketchup, sriracha, horseradish, and the juice of half of a grilled lime. Adjust flavors to your preferences.
For extra heat to the cocktail sauce, consider using 1 full tablespoon of horseradish. It will add a great kick. For the recipe we recommend starting with ½ tablespoon, then taste to adjust. We like the kick, so we typically add a full tablespoon.