Preheat oven to 400 degrees.
In a dry pan, lightly toast the seeds. Let cool. In a large glass heatproof bowl, whisk together the olive oil, lemon juice, vinegar, garlic, salt, peppers, and all of the seeds. Add the onion and the lemon slices. Toss gently to coat. Set aside.
In a small bowl, combine the Old Bay, salt, and pepper. Place the shrimp in one layer on a sheet pan. Do not overlap. You will need to do several batches. Drizzle the shrimp with olive oil. Toss well. Sprinkle with the Old Bay mixture. Roast for 7or 8 minutes for the medium 16-20 count shrimp. You may need a longer or shorter cooking time depending on the size of your shrimp but do not overcook- they will be tough. When they curl up and turn pink, they are done. Remove immediately and transfer the hot shrimp and the juice on the pan into the bowl with the marinade. Toss to coat. Add red chilies and bay leaves. Allow the mixture to cool and then refrigerate for at least 8 and up to 24 hours before serving.
Remove the chilies. Check the seasoning. You can add a dash or two of Tabasco if you like. Serve pickled shrimp in a large chilled glass bowl…it is delicious served room temperature in colder weather but on a hot day, I prefer to serve chilled.