The perfect shrimp to use for Shrimp Stir Fry is the large, jumbo or colossal size shrimp. We buy the shrimp that is already peeled and deveined. But you can cook shrimp with the peel on. I like to keep things easy, so I look for the shrimp that is already peeled. When cooking shrimp for this stir fry, we always buy uncooked shrimp.