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Heat oven to 220C/200C fan/gas 7. Mix the onion with the oil and vinegar, spread on a baking tray, then put the mushrooms on top, stem-side up, and scatter over the thyme and some seasoning. Cook in the oven for 15 mins, until starting to soften and caramelise.
Crumble the cheese into the cavity of the mushrooms and cook for 5 mins more until the cheese is melted and bubbling.
Split the ciabatta roll in half and lightly toast. Top with a handful of rocket, the sticky onions and the cheese-topped mushrooms. Serve with oven fries, if you like.