Heat oil in a large saucepan over medium heat. Add onion and garlic and cook, stirring occasionally, until slightly softened, about 3 minutes. Add ketchup, vinegar, brown sugar, honey, tomato paste, Worcestershire sauce, mustard, and chili powder. Season with salt and pepper, stir well and let simmer over medium-low heat until flavors meld, about 15 minutes.
If you like your sauce a bit chunky from the chopped onions, it's ready to go. If you like it smooth, let cool, then purée in a food processor.