Heat the vegetable oil in a pot over medium-high heat. Add the onions and saute for 4-5 minutes, stirring often.
When the onions are just beginning to brown, add the remaining ingredients and stir well to combine. Simmer for 30 minutes.
Pour the sauce into a blender or food processor and puree until it is smooth. (Note that if you are using a blender, either work in batches, filling the blender no more than a third at a time with the hot sauce, or slowly add the sauce while the blender is running on low speed.)
Put the sauce into a saucepan, bring to a simmer and continue to simmer, uncovered, for 1-2 hours.
The sauce will store for several weeks in the fridge.