Bang bang sauce: in a small bowl add all your bang bang sauce ingredients and whisk to combine well. Store in the refrigerator for up to a week. 

Crispy baked shrimp: preheat your oven to 400 F (205 C).

Add 2 tablespoons of butter to a large pan over medium heat. When the butter is melted and bubbly, add panko breadcrumbs and season with salt and black pepper. Cook, stirring often until panko starts to look golden brown and toasty—7 to 10 minutes. 

Remove the breadcrumbs from the pan to a large plate to cool while you get the rest of your ingredients together.

Add cornstarch to another large plate.

On a third large plate, add one egg, 1 tablespoon of mayonnaise, and hot sauce. Whisk thoroughly to combine. These three plates are your dredging station.

Peel and devein each shrimp. I have found that if you have large shrimp they can be easier to stuff into a sandwich if the shrimp are cut in half so you can do that if you'd prefer. It's optional and the shrimp will cook the same if they are whole or cut into smaller pieces.

First, each shrimp goes into the cornstarch and gets fully coated. Then each shrimp goes into the egg/mayonnaise mixture and gets fully coated again. Finally, the shrimp is dredged through the Panko breadcrumbs until they are fully coated with breadcrumbs.

Move each breadcrumb-coated shrimp to a sheet pan and bake for 7 to 8 minutes. 

Serve shrimp with cocktail or tartar sauce. 

Sandwich assembly: slice your bread rolls and toast if desired.

Spread some coleslaw or shredded lettuce on the bottom of each roll and then top the slaw with half of the shrimp in each sandwich. 

Drizzle bang bang sauce on top of the shrimp and then add the top of the roll to complete the sandwich.