Mix milk, Sriracha, salt, sugar, and egg together.
Put chicken in mixture and marinade for 3 hours.
Mix flour, bbq rub, cayenne, salt, onion powder and garlic powder together.
Mix the flour, bbq rub, cayenne, salt, onion powder, and garlic powder together in a shallow casserole.
Lift a piece of chicken out of the marinade with your left hand. Put it in the flour mixture and shovel the flour mixture over the chicken with your right hand.
Put the chicken back in the marinade.
Put the chicken in the flour again and shovel it over the chicken. Put the chicken on a rack.
Repeat with all chicken pieces.
Preheat oven or smoker to 400 F (205 C).
While the oven is preheating, heat the oil in a small saucepan until shimmering. Add cayenne, paprika, garlic powder, and sugar. Stir until fragrant, about 30 seconds. Remove from heat and set aside.
Put the chicken on a smoker rack skin side up or on a rack over a tray in the oven. Cook for 30 minutes.
Brush the top with oil, do not turn the chicken.
Cook to an internal temperature of 170 F (75 C) in the largest pieces and the skin is golden, between 15 and 30 minutes depending on smoker or oven.
Brush the chicken with the cayenne oil and serve