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Heat the oven to 200C/180C fan/gas 6. Remove any fronds from the fennel and reserve. Trim the tips – they are coarse – quarter the bulb(s) and trim the base of each piece. Slice the fennel lengthways into slim wedges, about 5mm at the thickest part. Toss in a roasting tin or a 30cm shallow, flameproof casserole with the onion, salt and pepper, the olive oil and lemon juice. Bake for 15 mins.
Mix all the ingredients for the stuffing with seasoning and a little olive oil (the mixture should be moist, but not sloppy). Season the cavities of the fish, then fill with the stuffing, pushing it up into the heads to get plenty inside. Put the fish on top of the partly baked vegetables, season, then drizzle with olive oil. Scatter over the fennel fronds.
Bake for 20 mins. The flesh should be opaque near the bone at the thickest part – not at all glassy – and the vegetables tender. Serve with lemon wedges and the bread.