There is a tremendous type of satay sauce that is very 
expensive to buy.

First is a description of the standard Chinese one. Please
note that it does have quite different ingredients than mine.

=====

SHA CHA JIANG (China) is a tasty sauce with a slightly
grainy texture, made from ground peanuts, dried fish,
dried shrimp, chili, garlic, and spices which usually
include coriander, Sichuan peppercorns, and star anise.

Its flavor is similar to satay sauce which could, if
necessary, be substituted. It is used mainly in Cantonese
cooking, to glaze meats for grilling and can be used in
stir-fries to give a mildly curried flavor. It is sold in
bottles and can be kept indefinitely in the refrigerator.
Also known as Sha Zha Chiang. 

From Jackie Passmore's Encyclopedia of Asian Food and
Cooking.

=====

I was in a fine Chinese restaurant in Tokyo, and there was
an amazing dipping sauce. The chef came out (Chinese guy)
and told me the basic ingredients in it!

I tried it with the following quantities:

Grind the following (you need a good machine):

1 star anise
1" x 1/2" cinnamon
1-2 tsp Sancho (Japanese lemon-pepper, kinda)
5 pieces amaska (Asian sweet-grass)
1 Tbs dried shrimp -- soaked until soft
2-3 dried scallops (conpoy) -- soaked until soft
2-3 dried oysters -- soaked until soft
1-2 tsp lemon peel
1 cup peanuts
some raw shrimp heads (w/shells is ok!)
2-3 tsp garlic
4 tsp tobanjan (Japanese chilli-bean sauce, salty taste)
2 Tbs sesame oil
1-2 Tbs curry powder
1 Tbs rice vinager
1 Tbs soy sauce

- - -
Saute 1 medium onion, very finely minced, in:
6-8 Tbs peanut oil.

Add the ground mixture and saute/simmer at low heat 
until it becomes like a powder. Mix in some more 
soy and vinager, and some lemon juice. 

    Source: geocities.com/wjmarkca