Combine (A) in a mixing bowl. Add water and knead with a dough hook in the electric mixer for two minutes on slow speed, then continue for another two minutes on medium speed.
Mix in shortening and continue to knead for a minute on slow speed. Turn to medium speed and knead for 10 minutes until dough comes together in a lump. Finish by kneading for a minute on maximum speed.
Place dough on a lightly-floured surface and round it up into a neat ball. Place the ball of dough in a lightly-floured basin. And cover with cling film. Leave to prove for one hour.
Punch down the dough, then rest it for 30 minutes. Cut the dough into 55g to 60g pieces, cover and leave aside for eight minutes.
Bake the hot dog sausages on a tray at 190°C for three minutes. Leave to cool slightly, then poke half a satay stick into one end of the hot dog sausage.
Flatten each piece of dough with a rolling pin. Place a hot dog on each piece of dough. Roll up the dough tightly and seal up the edge with water to prevent the dough from opening up.
Cut slanting slits through the dough to touch the sausage. Brush with beaten egg and sprinkle sesame seeds on top of the bun. Leave to prove for 15 to 20 minutes.
Brush lightly with beaten egg. Bake the buns at 200°C for five minutes. Lower the temperature to 180°C and continue to bake for 10 minutes or until golden brown.