Heat the grill to high. Brush both sides of the fillets with canola oil and season with salt and pepper, to taste. Grill until slightly charred and almost cooked through, about 3 to 4 minutes per side, (it will continue cooking in the sauce).
While the fish is grilling, heat the olive oil in a large saute pan over medium heat. Add the garlic, anchovies and tomatoes and cook until slightly soft, about 4 minutes. Add the capers, olives, lemon juice, oregano and parsley and cook for 30 seconds. Transfer the fish to the sauce and let cook for 1 minute. Transfer to a serving platter and serve.