With a knife, coarsely chop reserved shrimp heads.
In a pot over medium heat, combine shrimp heads and 5 cups water. Bring to a boil, skimming any foam that rises on top. Lower heat and simmer for about 10 minutes to extract flavor. Using a fine-mesh strainer, strain liquid and discard shrimp solids. Reserve 5 cups of the stock.
In a saucepot over medium heat, heat ¼ cup canola oil. Add 2 tablespoons of annatto seeds and cook, stirring regularly, until oil is infused with deep-orange color. With a slotted spoon, remove seeds and discard.
Add flour to the annatto oil and cook, stirring constantly, for about 1 minute or until smooth.
Slowly add shrimp stock, whisking vigorously to prevent lumps. Bring to a boil and then lower heat to a simmer.
Add shrimp bouillon and stir until dissolved.
Cook, stirring regularly, for about 3 to 5 minutes or until thickened. Season with salt and pepper to taste.