- Fill large pot with 3 quarts water and set over high heat. Add celery, onion, bay leaves, fennel seeds, mustard seeds, and 1 tablespoon salt, and bring to boil.
- Drop in shrimp and cook for 30-45 seconds. Using a wok spider or slotted spoon, remove shrimp from liquid, place on a paper towel-lined platter, and let sit at room temperature to cool.
- To make marinade, combine olive oil, lemon juice, orange peels, ground fennel seed, chili flakes, ground allspice, fennel pollen, yellow onion, shaved fennel, bay leaves, thyme, 1 tablespoon salt, and pepper in large mixing bowl. Gently incorporate shrimp and pack into mason jars. Allow to pickle overnight. Will keep sealed in the refrigerator for 2-3 weeks.