Brush sauce onto chicken during the last 10 minutes of grilling, and serve extra on the side.
Sauté onion, ginger, and garlic with vegetable oil in a medium saucepan over medium-high heat until soft, about 5 minutes.
Add rosé, ketchup, cider vinegar, brown sugar, Dijon mustard, Worcestershire, salt, pepper, and cayenne. Simmer, stirring occasionally, until very slightly thickened, 5 to 6 minutes.
Cool slightly, add lemon juice, then whirl in a blender until smooth.
Note: Nutritional analysis is per 1/4-cup serving.
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