In a bowl mix the shrimp, oil, old bay, garlic powder, and cracked pepper.
Mix the ketchup, horseradish, and lemon juice in a bowl until fully combined. Season with salt and pepper to taste. Adjust any of the ingredients to your liking. Set aside.
Heat a grill pan on medium heat. Once nice and hot, grill the shrimp on both sides to get nice markings. Internal temperature should register 120 degrees using a thermometer. Remove the shrimp and set them aside. (Can also use a regular grill if preferred)
Serve the shrimp with cocktail sauce. Garnish with parsley.