Heat the butter in a saucepan over medium heat. Add onions, shallots, and garlic. Cook for 5 minutes over low heat, without browning. Add the rest of the ingredients, mix well, and bring to a boil. Continue cooking for 18 minutes over low heat. Place the lamb leg in a roasting pan. Pour the BBQ sauce over the lamb leg. Let marinate for 1 to 2 hours in the refrigerator. Preheat the oven to 375 F. Remove the lamb leg from the refrigerator and put it in the oven. Cook for 45 minutes, basting frequently during cooking. Season with salt and pepper. Preheat the grill over medium heat. Oil the grill. Remove the lamb leg from the roasting pan and place it on the hot grill. Do not cover. Cook for 20 minutes, basting with sauce 7 to 8 times during cooking. Turn the lamb leg 2 to 3 times. Season to taste.