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Add the egg to the food processor. With the machine running, slowly drizzle in the canola oil and process to a smooth, creamy consistency. Transfer to a mixing bowl and stir in the scallions, salt, sambal and sugar. Mix in the tobiko. Taste and adjust the seasoning as needed. Cover and refrigerate until ready to use. Bring the sauce to room temperature just before serving.
For the shrimp kataif: Measure out narrow sheets of kataif about 4 inches long. Wrap each shrimp with kataif, starting at the tail end. Keep the wrapped shrimp under a damp cloth to prevent the kataif from drying out.
Serve warm with tobiko sauce.