Place the shrimp, bay leaf and salt into a large saucepan filled with 3 quarts of cold water and turn the heat on to high. Monitor the temperature of the water, giving it a stir every once in a while. While the water is coming to temperature, prepare an ice bath by filling a bowl with cold water and ice.

When the temperature of the water is 170˚F turn the heat off so that the water never boils or even starts to simmer. (Depending on how cold your shrimp and water are when you start, this should take 8 to 10 minutes.) The shrimp will turn pink and feel firm to the touch once they reach 170˚F. Strain the shrimp and transfer them to the ice bath.

Peel the shrimp (if necessary) and then chop the shrimp into ½-inch pieces.

Combine the mayonnaise, celery, parsley, chives, pickles, lemon zest, salt and pepper in a small bowl. Season to taste with a little lemon juice, salt and freshly ground black pepper if you like. Stir in the chopped shrimp.

Butter the sides of the hot dog buns generously. Heat a griddle or large skillet over medium heat and toast the rolls slowly until a nice brown crust appears on both sides. Place a leaf of butter lettuce in each roll and fill generously with the shrimp mixture. Serve with some potato chips and pickles or a side salad.