Florida rock shrimp resemble lobster in texture and sweetness. Substitute the freshest medium-size shrimp (31 to 35 count).
Heat 2 tablespoons oil in a 12-inch skillet over medium heat; add shrimp, and sauté 1 to 2 minutes on each side or until lightly browned. Place in a bowl, and cover with a paper towel.
Add remaining oil, onion, and next 3 ingredients to skillet, and sauté 2 to 3 minutes or until fragrant. Stir in bay leaves and next 5 ingredients. Slowly bring to a boil, and simmer 5 minutes or until onion is tender. Pour mixture over shrimp. Cover and chill 2 hours or overnight. Discard bay leaves before serving.