In a pot, combine water, juiced halved lemons, garlic, salt, sugar, bay leaves. Bring the pot to a boil and simmer for 5 minutes.
Stir the shrimp into the water, turn off the heat, and poach for 4 minutes.
Once the shrimp is poached, transfer it to an ice water bath to cool.
Mix all cocktail sauce ingredients to combine.
Remove the shrimp from the water bath and dry thoroughly. Dip them in the cocktail sauce and enjoy!