Shrimp cocktail is not very good, it’s always mealy farm shrimp that have no taste.
Suggest buying a pound of frozen wild caught gulf (any wild USA is ok) shrimp, shell on and boiling yourself with old bay and half a lemon. Throw a bay leaf in. Don’t overcook, and serve with store bought cocktail sauce and extra old bay. Voila, peel-and-eat shrimp.
https://www.mccormick.com/old-bay/recipes/appetizer/old-bay-steamed-shrimp-with-cocktail-sauce?amp=1
More advanced, add corn, kielbasa, and red potatoes for low country boil.