In a medium saucepan, combine the white wine or vinegar, peppercorns, ginger, red pepper flakes, and dry sherry. Simmer the mixture over low heat for about 5 minutes.
Add the anchovy and mustard seeds to the pot and simmer for another 3 minutes.
Add the garlic and onion and cook for another 1 minute.
Add the salt, sugar, cornstarch, and water to the pan and stir to combine thoroughly.
Simmer the mixture for another 5 minutes or until it thickens slightly.
Transfer the sauce to a blender or food processor and blend until smooth.
Place the sauce in a jar and store it in the refrigerator for up to 1 month.