Shrimp Po'Boys with Remoulade Sauce

Make shrimp: Season shrimp with 1/2 teaspoon salt and 1/4 teaspoon pepper; set aside. Whisk together flour and cayenne in a small bowl; season with salt and pepper. Whisk together egg and 2 tablespoons water in a second small bowl. Put the cornmeal in a third small bowl. Set aside.

Pour peanut oil into a medium saucepan to a depth of about 3 inches. Heat over medium heat until a deep-fry thermometer registers 365 degrees. Working in small batches, dredge shrimp in flour mixture and then egg wash; lightly dip in cornmeal to cover completely.

In small batches, fry dredged shrimp, turning once, until golden, about 3 minutes total. Transfer with a slotted spoon to paper towels to drain. (Adjust heat between batches as necessary to keep oil at a steady temperature.)

Make remoulade: Blend yolks, lemon juice, cornichons, capers, herbs, anchovy fillet, 1/4 teaspoon salt, and pepper to taste in a blender until smooth. With blender running, pour in vegetable oil in a slow, steady stream; blend until emulsified.

Make sandwiches: Spread some of the remoulade on inside of baguette pieces. Line with lettuce, and fill with shrimp.