Cut each slice of bread into 2 triangles. Place on baking sheet. Broil 2 minutes, until lightly browned; flip over and toast second side.
Bring water, 2 lemon slices, salt, bay leaf and peppercorns to boiling in pot. Add shrimp; cook 3 minutes, until curled and no longer pink. Drain.
Mix onion, mayonnaise, cocktail sauce, lemon juice, pepper sauce and salt in medium-size bowl.
Finely chop shrimp. Add to mayonnaise mixture. Divide shrimp mixture among toasts. Place on baking sheet.
Broil 3 to 4 minutes or until lightly browned. Transfer to platter. Garnish with lemon slices and parsley. Makes 8 servings.