Using a larding needle or a sharp knife. Make slits in the fish and insert pieces of anchovy. Marinate the fish in a mixture of oil and lemon juice, seasoned with salt and pepper, for at least 2 hours.
Lay the fish on a large bed of rosemary in a roasting tin. Pour more oil over the fish (It is the presence of fat that releases the essential oils of the rosemary). Roast in a preheated oven at 350 degrees F for 45 minutes.
To make the tomato vinaigrette, heat the olive oil, wine vinegar and tomatoes in a small pan and season to taste.
Transfer the fish to a serving dish and pour over the warm vinaigrette.