Put butter, onions, a little salt, and a sprinkle of sugar in a pan. Caramelize slowly, this will take at least 30 min. You can try adding baking soda to accelerate the caramelizing.
Mix caramelized onions with mayonnaise, ketchup, chives, Worcestershire sauce, and salt and pepper to taste.
Add finely diced pickles and let the sauce rest for at least an hour until it develops full flavor.
Notes
You can enhance the caramelization process by adding a pinch of baking soda.
Letting the sauce rest allows the flavors to meld together for a tastier outcome.