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Make the mignonette: stir together the red wine vinegar, minced shallot, coarsely ground black pepper, and salt in a small bowl until the salt dissolves. Refrigerate for at least 30 minutes so the shallot softens and the flavors meld.
Make the cocktail sauce: stir together the ketchup, prepared horseradish, lemon juice, Worcestershire sauce, and hot sauce (if using) in a small bowl until smooth. Refrigerate until ready to serve.
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