Preheat the oven broiler on high.
Lay the shrimp down on a cutting board and use a sharp knife parallel to the cutting board to slice the top side almost all the way in half, leaving about 1/4 inch attached to butterfly them.
Coat the shrimp in flour, then in egg, and finally in the panko breadcrumbs seasoned with salt and pepper. Press the breadcrumbs on to stick well.
Place the shrimp on a foil-lined baking sheet and drizzle with olive oil. Broil the shrimp for 4-6 minutes until golden brown, firm, and no longer raw; rotating the pan halfway through and keeping a watchful eye so they do not burn.
In a bowl, mix together the ketchup, horseradish, and lemon juice. Season with salt and pepper to taste.
Serve the shrimp with sauce. Garnish with lemon wedge and fresh parsley.